Correlation Between SPDR SP and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both SPDR SP and Lyxor MSCI 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 MSCI 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 MSCI Brazil, you can compare the effects of market volatilities on SPDR SP and Lyxor MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and Lyxor MSCI.
Diversification Opportunities for SPDR SP and Lyxor MSCI
-0.62 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between SPDR and Lyxor is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and Lyxor MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Brazil 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI Brazil has no effect on the direction of SPDR SP i.e., SPDR SP and Lyxor MSCI go up and down completely randomly.
Pair Corralation between SPDR SP and Lyxor MSCI
Assuming the 90 days trading horizon SPDR SP 500 is expected to generate 0.61 times more return on investment than Lyxor MSCI. However, SPDR SP 500 is 1.65 times less risky than Lyxor MSCI. It trades about 0.1 of its potential returns per unit of risk. Lyxor MSCI Brazil is currently generating about 0.01 per unit of risk. If you would invest 37,091 in SPDR SP 500 on September 3, 2024 and sell it today you would earn a total of 20,129 from holding SPDR SP 500 or generate 54.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 98.42% |
| Values | Daily Returns |
SPDR SP 500 vs. Lyxor MSCI Brazil
Performance |
| Timeline |
| SPDR SP 500 |
| Lyxor MSCI Brazil |
SPDR SP and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR SP and Lyxor MSCI
The main advantage of trading using opposite SPDR SP and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR SP position performs unexpectedly, Lyxor MSCI 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 MSCI will offset losses from the drop in Lyxor MSCI'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 |
| Lyxor MSCI vs. Amundi Index Solutions | Lyxor MSCI vs. Amundi Index Solutions | Lyxor MSCI vs. Manitou BF SA | Lyxor MSCI 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
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