Correlation Between Vanguard FTSE and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both Vanguard FTSE 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 FTSE 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 FTSE Developed and Lyxor MSCI World, you can compare the effects of market volatilities on Vanguard FTSE 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 FTSE with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard FTSE and Lyxor MSCI.
Diversification Opportunities for Vanguard FTSE and Lyxor MSCI
-0.52 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Vanguard and Lyxor is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard FTSE Developed and Lyxor MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI World 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 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 World has no effect on the direction of Vanguard FTSE i.e., Vanguard FTSE and Lyxor MSCI go up and down completely randomly.
Pair Corralation between Vanguard FTSE and Lyxor MSCI
Assuming the 90 days trading horizon Vanguard FTSE is expected to generate 8.24 times less return on investment than Lyxor MSCI. But when comparing it to its historical volatility, Vanguard FTSE Developed is 1.23 times less risky than Lyxor MSCI. It trades about 0.02 of its potential returns per unit of risk. Lyxor MSCI World is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 90,340 in Lyxor MSCI World on September 12, 2024 and sell it today you would earn a total of 2,961 from holding Lyxor MSCI World or generate 3.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard FTSE Developed vs. Lyxor MSCI World
Performance |
| Timeline |
| Vanguard FTSE Developed |
| Lyxor MSCI World |
Vanguard FTSE and Lyxor MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard FTSE and Lyxor MSCI
The main advantage of trading using opposite Vanguard FTSE and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard FTSE 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 FTSE vs. Leverage Shares 2x | Vanguard FTSE vs. Amundi Index Solutions | Vanguard FTSE vs. Amundi Index Solutions | Vanguard FTSE vs. Albion Venture Capital |
| Lyxor MSCI vs. Leverage Shares 3x | Lyxor MSCI vs. Leverage Shares 3x | Lyxor MSCI vs. Leverage Shares 3x | Lyxor MSCI vs. SP 500 VIX |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Other Complementary Tools
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities |