Correlation Between Lyxor Commodities and SPDR MSCI

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

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

Diversification Opportunities for Lyxor Commodities and SPDR MSCI

0.0

Correlation Coefficient

Lyxor Commodities  SPDR MSCI

Pay attention - limited upside

The 3 months correlation between Lyxor and SPDR is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Commodities RefinitivCor and SPDR MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI Europe and Lyxor Commodities 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 Commodities RefinitivCoreCommodity are associated (or correlated) with SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI Europe has no effect on the direction of Lyxor Commodities i.e., Lyxor Commodities and SPDR MSCI go up and down completely randomly.

Pair Corralation between Lyxor Commodities and SPDR MSCI

Assuming the 90 days trading horizon Lyxor Commodities RefinitivCoreCommodity is expected to generate 0.99 times more return on investment than SPDR MSCI. However, Lyxor Commodities RefinitivCoreCommodity is 1.01 times less risky than SPDR MSCI. It trades about 0.07 of its potential returns per unit of risk. SPDR MSCI Europe is currently generating about 0.03 per unit of risk. If you would invest  2,279  in Lyxor Commodities RefinitivCoreCommodity on September 3, 2024 and sell it today you would earn a total of  24.00  from holding Lyxor Commodities RefinitivCoreCommodity or generate 1.05% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	95.24%
Values	Daily Returns

Lyxor Commodities RefinitivCor  vs.  SPDR MSCI Europe

Lyxor Commodities

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor Commodities RefinitivCoreCommodity are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Lyxor Commodities may actually be approaching a critical reversion point that can send shares even higher in January 2025.

SPDR MSCI Europe

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SPDR MSCI Europe has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, SPDR MSCI is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Lyxor Commodities and SPDR MSCI

The main advantage of trading using opposite Lyxor Commodities and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Commodities position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.

The idea behind Lyxor Commodities RefinitivCoreCommodity and SPDR MSCI Europe 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.

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.