Correlation Between Lyxor TIPS and Lyxor UCITS
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By analyzing existing cross correlation between Lyxor TIPS DR and Lyxor UCITS EuroMTS, you can compare the effects of market volatilities on Lyxor TIPS 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 Lyxor TIPS with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor TIPS and Lyxor UCITS.
Diversification Opportunities for Lyxor TIPS and Lyxor UCITS
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor TIPS DR and Lyxor UCITS EuroMTS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS EuroMTS and Lyxor TIPS 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 Lyxor TIPS DR 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 EuroMTS has no effect on the direction of Lyxor TIPS i.e., Lyxor TIPS and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor TIPS and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor TIPS DR is expected to generate 7.73 times more return on investment than Lyxor UCITS. However, Lyxor TIPS is 7.73 times more volatile than Lyxor UCITS EuroMTS. It trades about 0.23 of its potential returns per unit of risk. Lyxor UCITS EuroMTS is currently generating about 0.44 per unit of risk. If you would invest 10,339 in Lyxor TIPS DR on August 31, 2024 and sell it today you would earn a total of 278.00 from holding Lyxor TIPS DR or generate 2.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor TIPS DR vs. Lyxor UCITS EuroMTS
Performance |
| Timeline |
| Lyxor TIPS DR |
| Lyxor UCITS EuroMTS |
Lyxor TIPS and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor TIPS and Lyxor UCITS
The main advantage of trading using opposite Lyxor TIPS and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor TIPS 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.| Lyxor TIPS vs. UBS Fund Solutions | Lyxor TIPS vs. Xtrackers II | Lyxor TIPS vs. Xtrackers Nikkei 225 | Lyxor TIPS vs. iShares VII PLC |
| Lyxor UCITS vs. Lyxor Fed Funds | Lyxor UCITS vs. Lyxor BofAML USD | Lyxor UCITS vs. Lyxor 1 TecDAX | Lyxor UCITS vs. Lyxor TIPS DR |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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