Correlation Between Lyxor UCITS and JPMorgan ETFs
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and JPMorgan ETFs 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 Lyxor UCITS and JPMorgan ETFs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS iBoxx and JPMorgan ETFs ICAV, you can compare the effects of market volatilities on Lyxor UCITS and JPMorgan ETFs 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 UCITS with a short position of JPMorgan ETFs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and JPMorgan ETFs.
Diversification Opportunities for Lyxor UCITS and JPMorgan ETFs
-0.77 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Lyxor and JPMorgan is -0.77. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS iBoxx and JPMorgan ETFs ICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan ETFs ICAV and Lyxor UCITS 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 UCITS iBoxx are associated (or correlated) with JPMorgan ETFs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan ETFs ICAV has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and JPMorgan ETFs go up and down completely randomly.
Pair Corralation between Lyxor UCITS and JPMorgan ETFs
Assuming the 90 days trading horizon Lyxor UCITS iBoxx is expected to generate 0.49 times more return on investment than JPMorgan ETFs. However, Lyxor UCITS iBoxx is 2.05 times less risky than JPMorgan ETFs. It trades about 0.07 of its potential returns per unit of risk. JPMorgan ETFs ICAV is currently generating about -0.04 per unit of risk. If you would invest 767,000 in Lyxor UCITS iBoxx on September 1, 2024 and sell it today you would earn a total of 28,300 from holding Lyxor UCITS iBoxx or generate 3.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 98.46% |
| Values | Daily Returns |
Lyxor UCITS iBoxx vs. JPMorgan ETFs ICAV
Performance |
| Timeline |
| Lyxor UCITS iBoxx |
| JPMorgan ETFs ICAV |
Lyxor UCITS and JPMorgan ETFs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and JPMorgan ETFs
The main advantage of trading using opposite Lyxor UCITS and JPMorgan ETFs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, JPMorgan ETFs 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 JPMorgan ETFs will offset losses from the drop in JPMorgan ETFs' long position.| Lyxor UCITS vs. Lyxor Smart Overnight | Lyxor UCITS vs. Lyxor UCITS EuroMTS | Lyxor UCITS vs. Lyxor Core UK | Lyxor UCITS vs. Lyxor Core Global |
| JPMorgan ETFs vs. JPMorgan ETFs ICAV | JPMorgan ETFs vs. JPMorgan ETFs ICAV | JPMorgan ETFs vs. JPMorgan ETFs Ireland | JPMorgan ETFs vs. JPMorgan ETFs Ireland |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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