Correlation Between SP 500 and Lyxor Core
Can any of the company-specific risk be diversified away by investing in both SP 500 and Lyxor Core 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 SP 500 and Lyxor Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP 500 VIX and Lyxor Core Global, you can compare the effects of market volatilities on SP 500 and Lyxor Core 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 SP 500 with a short position of Lyxor Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Lyxor Core.
Diversification Opportunities for SP 500 and Lyxor Core
0.1 | Correlation Coefficient |
Average diversification
The 3 months correlation between VILX and Lyxor is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX and Lyxor Core Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Core Global and SP 500 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 SP 500 VIX are associated (or correlated) with Lyxor Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Core Global has no effect on the direction of SP 500 i.e., SP 500 and Lyxor Core go up and down completely randomly.
Pair Corralation between SP 500 and Lyxor Core
Assuming the 90 days trading horizon SP 500 VIX is expected to under-perform the Lyxor Core. In addition to that, SP 500 is 20.8 times more volatile than Lyxor Core Global. It trades about -0.01 of its total potential returns per unit of risk. Lyxor Core Global is currently generating about -0.07 per unit of volatility. If you would invest 812.00 in Lyxor Core Global on September 3, 2024 and sell it today you would lose (15.00) from holding Lyxor Core Global or give up 1.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SP 500 VIX vs. Lyxor Core Global
Performance |
| Timeline |
| SP 500 VIX |
| Lyxor Core Global |
SP 500 and Lyxor Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SP 500 and Lyxor Core
The main advantage of trading using opposite SP 500 and Lyxor Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 position performs unexpectedly, Lyxor Core 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 Core will offset losses from the drop in Lyxor Core's long position.| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
| Lyxor Core vs. Leverage Shares 3x | Lyxor Core vs. WisdomTree Natural Gas | Lyxor Core vs. SP 500 VIX | Lyxor Core vs. Leverage Shares 3x |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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