Correlation Between Vanguard FTSE and Lyxor 10Y
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE and Lyxor 10Y 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 FTSE and Lyxor 10Y into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard FTSE Developed and Lyxor 10Y Inflation, you can compare the effects of market volatilities on Vanguard FTSE and Lyxor 10Y 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 FTSE with a short position of Lyxor 10Y. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and Lyxor 10Y.
Diversification Opportunities for Vanguard FTSE and Lyxor 10Y
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Vanguard and Lyxor is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and Lyxor 10Y Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 10Y Inflation and Vanguard FTSE 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 FTSE Developed are associated (or correlated) with Lyxor 10Y. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 10Y Inflation has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and Lyxor 10Y go up and down completely randomly.
Pair Corralation between Vanguard FTSE and Lyxor 10Y
Assuming the 90 days trading horizon Vanguard FTSE Developed is expected to under-perform the Lyxor 10Y. In addition to that, Vanguard FTSE is 3.69 times more volatile than Lyxor 10Y Inflation. It trades about -0.18 of its total potential returns per unit of risk. Lyxor 10Y Inflation is currently generating about 0.02 per unit of volatility. If you would invest 13,038 in Lyxor 10Y Inflation on August 30, 2024 and sell it today you would earn a total of 16.00 from holding Lyxor 10Y Inflation or generate 0.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Developed vs. Lyxor 10Y Inflation
Performance |
| Timeline |
| Vanguard FTSE Developed |
| Lyxor 10Y Inflation |
Vanguard FTSE and Lyxor 10Y Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and Lyxor 10Y
The main advantage of trading using opposite Vanguard FTSE and Lyxor 10Y positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE position performs unexpectedly, Lyxor 10Y 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 10Y will offset losses from the drop in Lyxor 10Y's long position.| Vanguard FTSE vs. GraniteShares 3x Short | Vanguard FTSE vs. WisdomTree Natural Gas | Vanguard FTSE vs. Leverage Shares 3x | Vanguard FTSE vs. WisdomTree Natural Gas |
| Lyxor 10Y vs. Vanguard FTSE Developed | Lyxor 10Y vs. Leverage Shares 2x | Lyxor 10Y vs. Amundi Index Solutions | Lyxor 10Y vs. Amundi Index Solutions |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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