Correlation Between SPDR SP and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Lyxor UCITS at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining SPDR SP and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SPDR SP 500 and Lyxor UCITS CAC, you can compare the effects of market volatilities on SPDR SP 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 SPDR SP with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Lyxor UCITS.
Diversification Opportunities for SPDR SP and Lyxor UCITS
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Lyxor is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Lyxor UCITS CAC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS CAC and SPDR SP 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 SPDR SP 500 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 CAC has no effect on the direction of SPDR SP i.e., SPDR SP and Lyxor UCITS go up and down completely randomly.
Pair Corralation between SPDR SP and Lyxor UCITS
Assuming the 90 days trading horizon SPDR SP is expected to generate 1.48 times less return on investment than Lyxor UCITS. But when comparing it to its historical volatility, SPDR SP 500 is 1.58 times less risky than Lyxor UCITS. It trades about 0.25 of its potential returns per unit of risk. Lyxor UCITS CAC is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 83.00 in Lyxor UCITS CAC on August 28, 2024 and sell it today you would earn a total of 8.00 from holding Lyxor UCITS CAC or generate 9.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR SP 500 vs. Lyxor UCITS CAC
Performance |
| Timeline |
| SPDR SP 500 |
| Lyxor UCITS CAC |
SPDR SP and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Lyxor UCITS
The main advantage of trading using opposite SPDR SP and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP 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.| SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR MSCI Europe | SPDR SP vs. SPDR Barclays Cap | SPDR SP vs. SPDR MSCI Europe |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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