Correlation Between SPDR MSCI and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI 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 MSCI 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 MSCI Europe and Lyxor UCITS Stoxx, you can compare the effects of market volatilities on SPDR MSCI 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 MSCI with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Lyxor UCITS.
Diversification Opportunities for SPDR MSCI and Lyxor UCITS
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SPDR and Lyxor is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and Lyxor UCITS Stoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS Stoxx and SPDR MSCI 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 MSCI Europe 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 Stoxx has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Lyxor UCITS go up and down completely randomly.
Pair Corralation between SPDR MSCI and Lyxor UCITS
Assuming the 90 days trading horizon SPDR MSCI is expected to generate 1.14 times less return on investment than Lyxor UCITS. In addition to that, SPDR MSCI is 1.68 times more volatile than Lyxor UCITS Stoxx. It trades about 0.03 of its total potential returns per unit of risk. Lyxor UCITS Stoxx is currently generating about 0.05 per unit of volatility. If you would invest 4,500 in Lyxor UCITS Stoxx on August 31, 2024 and sell it today you would earn a total of 708.00 from holding Lyxor UCITS Stoxx or generate 15.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.74% |
| Values | Daily Returns |
SPDR MSCI Europe vs. Lyxor UCITS Stoxx
Performance |
| Timeline |
| SPDR MSCI Europe |
| Lyxor UCITS Stoxx |
SPDR MSCI and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Lyxor UCITS
The main advantage of trading using opposite SPDR MSCI and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI 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 MSCI vs. Multi Units France | SPDR MSCI vs. Lyxor MSCI China | SPDR MSCI vs. Lyxor Commodities RefinitivCoreCommodity | SPDR MSCI vs. Manitou BF SA |
| Lyxor UCITS vs. Lyxor Index Fund | Lyxor UCITS vs. Multi Units France | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Multi Units France |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |