Correlation Between SBF 120 and Lyxor FTSE
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By analyzing existing cross correlation between SBF 120 and Lyxor FTSE MIB, you can compare the effects of market volatilities on SBF 120 and Lyxor FTSE 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 FTSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Lyxor FTSE.
Diversification Opportunities for SBF 120 and Lyxor FTSE
0.41 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between SBF and Lyxor is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Lyxor FTSE MIB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor FTSE MIB 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 FTSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor FTSE MIB has no effect on the direction of SBF 120 i.e., SBF 120 and Lyxor FTSE go up and down completely randomly.
Pair Corralation between SBF 120 and Lyxor FTSE
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the Lyxor FTSE. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 1.08 times less risky than Lyxor FTSE. The index trades about -0.08 of its potential returns per unit of risk. The Lyxor FTSE MIB is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 3,472 in Lyxor FTSE MIB on September 1, 2024 and sell it today you would lose (44.00) from holding Lyxor FTSE MIB or give up 1.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Lyxor FTSE MIB
Performance |
| Timeline |
SBF 120 and Lyxor FTSE Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Lyxor FTSE MIB
Pair trading matchups for Lyxor FTSE
Pair Trading with SBF 120 and Lyxor FTSE
The main advantage of trading using opposite SBF 120 and Lyxor FTSE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Lyxor FTSE 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 FTSE will offset losses from the drop in Lyxor FTSE's long position.| SBF 120 vs. Jacquet Metal Service | SBF 120 vs. Eutelsat Communications SA | SBF 120 vs. Hotelim Socit Anonyme | SBF 120 vs. Gaztransport Technigaz SAS |
| Lyxor FTSE vs. Multi Units France | Lyxor FTSE vs. Lyxor MSCI China | Lyxor FTSE vs. Manitou BF SA | Lyxor FTSE vs. Ossiam Minimum Variance |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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