Correlation Between Lyxor UCITS and Lyxor Treasury
Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Treasury 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 Lyxor Treasury 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 Lyxor Treasury 3 7Y, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Treasury 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 Lyxor Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Treasury.
Diversification Opportunities for Lyxor UCITS and Lyxor Treasury
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Lyxor and Lyxor is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS iBoxx and Lyxor Treasury 3 7Y in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Treasury 3 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 Lyxor Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Treasury 3 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Treasury go up and down completely randomly.
Pair Corralation between Lyxor UCITS and Lyxor Treasury
Assuming the 90 days trading horizon Lyxor UCITS is expected to generate 1.34 times less return on investment than Lyxor Treasury. In addition to that, Lyxor UCITS is 1.24 times more volatile than Lyxor Treasury 3 7Y. It trades about 0.02 of its total potential returns per unit of risk. Lyxor Treasury 3 7Y is currently generating about 0.03 per unit of volatility. If you would invest 1,006 in Lyxor Treasury 3 7Y on September 3, 2024 and sell it today you would earn a total of 51.00 from holding Lyxor Treasury 3 7Y or generate 5.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.98% |
| Values | Daily Returns |
Lyxor UCITS iBoxx vs. Lyxor Treasury 3 7Y
Performance |
| Timeline |
| Lyxor UCITS iBoxx |
| Lyxor Treasury 3 |
Lyxor UCITS and Lyxor Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor UCITS and Lyxor Treasury
The main advantage of trading using opposite Lyxor UCITS and Lyxor Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Treasury 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 Treasury will offset losses from the drop in Lyxor Treasury's long position.| Lyxor UCITS vs. SP 500 VIX | Lyxor UCITS vs. WisdomTree Natural Gas | Lyxor UCITS vs. WisdomTree Natural Gas | Lyxor UCITS vs. Leverage Shares 2x |
| Lyxor Treasury vs. Lyxor Smart Overnight | Lyxor Treasury vs. Lyxor UCITS EuroMTS | Lyxor Treasury vs. Lyxor Core UK | Lyxor Treasury vs. Lyxor Core Global |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Other Complementary Tools
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities |