Correlation Between Vanguard and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard and Lyxor MSCI 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 Vanguard and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard SP 500 and Lyxor MSCI China, you can compare the effects of market volatilities on Vanguard and Lyxor MSCI 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 Vanguard with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard and Lyxor MSCI.
Diversification Opportunities for Vanguard and Lyxor MSCI
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Vanguard and Lyxor is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard SP 500 and Lyxor MSCI China in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI China and Vanguard 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 Vanguard SP 500 are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI China has no effect on the direction of Vanguard i.e., Vanguard and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Vanguard and Lyxor MSCI
Assuming the 90 days trading horizon Vanguard SP 500 is expected to generate 0.47 times more return on investment than Lyxor MSCI. However, Vanguard SP 500 is 2.13 times less risky than Lyxor MSCI. It trades about 0.11 of its potential returns per unit of risk. Lyxor MSCI China is currently generating about -0.07 per unit of risk. If you would invest 9,571 in Vanguard SP 500 on October 14, 2024 and sell it today you would earn a total of 549.00 from holding Vanguard SP 500 or generate 5.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard SP 500 vs. Lyxor MSCI China
Performance |
| Timeline |
| Vanguard SP 500 |
| Lyxor MSCI China |
Vanguard and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard and Lyxor MSCI
The main advantage of trading using opposite Vanguard and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard position performs unexpectedly, Lyxor MSCI 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 MSCI will offset losses from the drop in Lyxor MSCI's long position.| Vanguard vs. Vanguard FTSE Emerging | Vanguard vs. Vanguard USD Emerging | Vanguard vs. Vanguard FTSE Developed | Vanguard vs. Vanguard FTSE Japan |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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