Correlation Between SBF 120 and Lyxor UCITS
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By analyzing existing cross correlation between SBF 120 and Lyxor UCITS MSCI, 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
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between SBF and Lyxor is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Lyxor UCITS MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS MSCI 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 MSCI 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 under-perform the Lyxor UCITS. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 1.1 times less risky than Lyxor UCITS. The index trades about -0.21 of its potential returns per unit of risk. The Lyxor UCITS MSCI is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 34,564 in Lyxor UCITS MSCI on August 27, 2024 and sell it today you would earn a total of 1,714 from holding Lyxor UCITS MSCI or generate 4.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Lyxor UCITS MSCI
Performance |
| Timeline |
SBF 120 and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Lyxor UCITS MSCI
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. X Fab Silicon | SBF 120 vs. Axway Software | SBF 120 vs. Covivio Hotels | SBF 120 vs. Novatech Industries SA |
| Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Lyxor UCITS Stoxx | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Amundi Index Solutions |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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