Correlation Between Lyxor MSCI and Lyxor MSCI

Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI 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 Lyxor MSCI and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Lyxor MSCI Europe and Lyxor MSCI Brazil, you can compare the effects of market volatilities on Lyxor MSCI 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 Lyxor MSCI with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor MSCI.

Diversification Opportunities for Lyxor MSCI and Lyxor MSCI

-0.43

Correlation Coefficient

Lyxor MSCI  Lyxor MSCI

Very good diversification

The 3 months correlation between Lyxor and Lyxor is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Europe and Lyxor MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Brazil and Lyxor MSCI 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 Lyxor MSCI Europe 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 Brazil has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor MSCI go up and down completely randomly.

Pair Corralation between Lyxor MSCI and Lyxor MSCI

Assuming the 90 days trading horizon Lyxor MSCI Europe is expected to generate 92.28 times more return on investment than Lyxor MSCI. However, Lyxor MSCI is 92.28 times more volatile than Lyxor MSCI Brazil. It trades about 0.11 of its potential returns per unit of risk. Lyxor MSCI Brazil is currently generating about 0.19 per unit of risk. If you would invest  471.00  in Lyxor MSCI Europe on December 30, 2024 and sell it today you would lose (269.00) from holding Lyxor MSCI Europe or give up 57.11% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.39%
Values	Daily Returns

Lyxor MSCI Europe  vs.  Lyxor MSCI Brazil

Lyxor MSCI Europe

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor MSCI Europe are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, Lyxor MSCI showed solid returns over the last few months and may actually be approaching a breakup point.

Lyxor MSCI Brazil

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor MSCI Brazil are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively abnormal basic indicators, Lyxor MSCI unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Lyxor MSCI and Lyxor MSCI

The main advantage of trading using opposite Lyxor MSCI and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI 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.

The idea behind Lyxor MSCI Europe and Lyxor MSCI Brazil pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.