Correlation Between Lyxor Treasury and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both Lyxor Treasury 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 Lyxor Treasury and Lyxor UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Treasury 3 7Y and Lyxor UCITS iBoxx, you can compare the effects of market volatilities on Lyxor Treasury 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 Treasury with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Treasury and Lyxor UCITS.
Diversification Opportunities for Lyxor Treasury and Lyxor UCITS
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and Lyxor is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Treasury 3 7Y and Lyxor UCITS iBoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS iBoxx and Lyxor Treasury 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 Treasury 3 7Y 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 iBoxx has no effect on the direction of Lyxor Treasury i.e., Lyxor Treasury and Lyxor UCITS go up and down completely randomly.
Pair Corralation between Lyxor Treasury and Lyxor UCITS
Assuming the 90 days trading horizon Lyxor Treasury is expected to generate 1.54 times less return on investment than Lyxor UCITS. But when comparing it to its historical volatility, Lyxor Treasury 3 7Y is 1.38 times less risky than Lyxor UCITS. It trades about 0.02 of its potential returns per unit of risk. Lyxor UCITS iBoxx is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 8,911 in Lyxor UCITS iBoxx on August 30, 2024 and sell it today you would earn a total of 649.00 from holding Lyxor UCITS iBoxx or generate 7.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Lyxor Treasury 3 7Y vs. Lyxor UCITS iBoxx
Performance |
| Timeline |
| Lyxor Treasury 3 |
| Lyxor UCITS iBoxx |
Lyxor Treasury and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Treasury and Lyxor UCITS
The main advantage of trading using opposite Lyxor Treasury and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Treasury 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 Treasury vs. Lyxor UCITS iBoxx | Lyxor Treasury vs. Lyxor Treasury 10Y | Lyxor Treasury vs. Amundi Stoxx Europe |
| Lyxor UCITS vs. Lyxor SP 500 | Lyxor UCITS vs. Lyxor UCITS Daily | Lyxor UCITS vs. Lyxor UCITS MSCI | Lyxor UCITS vs. Lyxor Treasury 10Y |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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