Correlation Between SPDR MSCI and Lyxor CAC
Can any of the company-specific risk be diversified away by investing in both SPDR MSCI and Lyxor CAC 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 CAC 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 CAC 40, you can compare the effects of market volatilities on SPDR MSCI and Lyxor CAC 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 CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR MSCI and Lyxor CAC.
Diversification Opportunities for SPDR MSCI and Lyxor CAC
Poor diversification
The 3 months correlation between SPDR and Lyxor is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI Europe and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 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 CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of SPDR MSCI i.e., SPDR MSCI and Lyxor CAC go up and down completely randomly.
Pair Corralation between SPDR MSCI and Lyxor CAC
Assuming the 90 days trading horizon SPDR MSCI Europe is expected to generate 0.99 times more return on investment than Lyxor CAC. However, SPDR MSCI Europe is 1.01 times less risky than Lyxor CAC. It trades about 0.03 of its potential returns per unit of risk. Lyxor CAC 40 is currently generating about -0.04 per unit of risk. If you would invest 20,975 in SPDR MSCI Europe on August 27, 2024 and sell it today you would earn a total of 905.00 from holding SPDR MSCI Europe or generate 4.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SPDR MSCI Europe vs. Lyxor CAC 40
Performance |
| Timeline |
| SPDR MSCI Europe |
| Lyxor CAC 40 |
SPDR MSCI and Lyxor CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SPDR MSCI and Lyxor CAC
The main advantage of trading using opposite SPDR MSCI and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SPDR MSCI position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC's long position.| SPDR MSCI vs. Lyxor UCITS Japan | SPDR MSCI vs. Lyxor UCITS Stoxx | SPDR MSCI vs. Xtrackers MSCI Europe | SPDR MSCI vs. SPDR SP 500 |
| Lyxor CAC vs. Lyxor UCITS Japan | Lyxor CAC vs. Lyxor UCITS Stoxx | Lyxor CAC vs. Xtrackers MSCI Europe | Lyxor CAC vs. SPDR SP 500 |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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