Correlation Between SBF 120 and Lyxor 10Y
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By analyzing existing cross correlation between SBF 120 and Lyxor 10Y Treasury, you can compare the effects of market volatilities on SBF 120 and Lyxor 10Y and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in SBF 120 with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Lyxor 10Y.
Diversification Opportunities for SBF 120 and Lyxor 10Y
Pay attention - limited upside
The 3 months correlation between SBF and Lyxor is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Lyxor 10Y Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Treasury and SBF 120 is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on SBF 120 are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Treasury has no effect on the direction of SBF 120 i.e., SBF 120 and Lyxor 10Y go up and down completely randomly.
Pair Corralation between SBF 120 and Lyxor 10Y
Assuming the 90 days trading horizon SBF 120 is expected to generate 0.65 times more return on investment than Lyxor 10Y. However, SBF 120 is 1.54 times less risky than Lyxor 10Y. It trades about 0.09 of its potential returns per unit of risk. Lyxor 10Y Treasury is currently generating about 0.04 per unit of risk. If you would invest 554,840 in SBF 120 on September 15, 2024 and sell it today you would earn a total of 6,532 from holding SBF 120 or generate 1.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
SBF 120 vs. Lyxor 10Y Treasury
Performance |
| Timeline |
SBF 120 and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Lyxor 10Y Treasury
Pair trading matchups for Lyxor 10Y
Pair Trading with SBF 120 and Lyxor 10Y
The main advantage of trading using opposite SBF 120 and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Lyxor 10Y can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Lyxor 10Y will offset losses from the drop in Lyxor 10Y's long position.| SBF 120 vs. Hotelim Socit Anonyme | SBF 120 vs. Eutelsat Communications SA | SBF 120 vs. Groupe Pizzorno Environnement | SBF 120 vs. ISPD Network SA |
| Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Japan | Lyxor 10Y vs. Lyxor UCITS Stoxx | Lyxor 10Y vs. Amundi CAC 40 |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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