Correlation Between SP 500 and Lyxor UCITS
Can any of the company-specific risk be diversified away by investing in both SP 500 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 SP 500 and Lyxor UCITS 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 UCITS iBoxx, you can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Lyxor UCITS.
Diversification Opportunities for SP 500 and Lyxor UCITS
-0.35 | Correlation Coefficient |
Very good diversification
The 3 months correlation between VILX and Lyxor is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX 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 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 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 SP 500 i.e., SP 500 and Lyxor UCITS go up and down completely randomly.
Pair Corralation between SP 500 and Lyxor UCITS
Assuming the 90 days trading horizon SP 500 VIX is expected to under-perform the Lyxor UCITS. In addition to that, SP 500 is 18.98 times more volatile than Lyxor UCITS iBoxx. It trades about -0.01 of its total potential returns per unit of risk. Lyxor UCITS iBoxx is currently generating about 0.12 per unit of volatility. If you would invest 769,200 in Lyxor UCITS iBoxx on September 3, 2024 and sell it today you would earn a total of 26,100 from holding Lyxor UCITS iBoxx or generate 3.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SP 500 VIX vs. Lyxor UCITS iBoxx
Performance |
| Timeline |
| SP 500 VIX |
| Lyxor UCITS iBoxx |
SP 500 and Lyxor UCITS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SP 500 and Lyxor UCITS
The main advantage of trading using opposite SP 500 and Lyxor UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 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.| SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
| Lyxor UCITS vs. SP 500 VIX | Lyxor UCITS vs. WisdomTree Natural Gas | Lyxor UCITS vs. WisdomTree Natural Gas | Lyxor UCITS vs. Leverage Shares 2x |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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