Correlation Between SBF 120 and Lyxor UCITS
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By analyzing existing cross correlation between SBF 120 and Lyxor UCITS Iboxx, you can compare the effects of market volatilities on SBF 120 and Lyxor UCITS 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 UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Lyxor UCITS.
Diversification Opportunities for SBF 120 and Lyxor UCITS
0.34 | Correlation Coefficient |
Weak diversification
The 3 months correlation between SBF and Lyxor is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Lyxor UCITS Iboxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Iboxx 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 UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS Iboxx has no effect on the direction of SBF 120 i.e., SBF 120 and Lyxor UCITS go up and down completely randomly.
Pair Corralation between SBF 120 and Lyxor UCITS
Assuming the 90 days trading horizon SBF 120 is expected to generate 0.39 times more return on investment than Lyxor UCITS. However, SBF 120 is 2.54 times less risky than Lyxor UCITS. It trades about 0.07 of its potential returns per unit of risk. Lyxor UCITS Iboxx is currently generating about -0.05 per unit of risk. If you would invest 552,370 in SBF 120 on September 19, 2024 and sell it today you would earn a total of 5,234 from holding SBF 120 or generate 0.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Lyxor UCITS Iboxx
Performance |
| Timeline |
SBF 120 and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Lyxor UCITS Iboxx
Pair trading matchups for Lyxor UCITS
Pair Trading with SBF 120 and Lyxor UCITS
The main advantage of trading using opposite SBF 120 and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Lyxor UCITS 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 UCITS will offset losses from the drop in Lyxor UCITS's long position.| SBF 120 vs. CMG Cleantech SA | SBF 120 vs. Avenir Telecom SA | SBF 120 vs. Soditech SA | SBF 120 vs. Novatech Industries SA |
| Lyxor UCITS vs. Lyxor SP 500 | Lyxor UCITS vs. Lyxor UCITS Daily | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Lyxor Treasury 10Y |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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