Correlation Between IShares Core and Lyxor Index

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

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

Diversification Opportunities for IShares Core and Lyxor Index

0.11

Correlation Coefficient

IShares Core  Lyxor Index

Average diversification

The 3 months correlation between IShares and Lyxor is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding iShares Core MSCI and Lyxor Index Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Index Fund and IShares Core 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 iShares Core MSCI are associated (or correlated) with Lyxor Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Index Fund has no effect on the direction of IShares Core i.e., IShares Core and Lyxor Index go up and down completely randomly.

Pair Corralation between IShares Core and Lyxor Index

Assuming the 90 days trading horizon iShares Core MSCI is expected to under-perform the Lyxor Index. In addition to that, IShares Core is 7.29 times more volatile than Lyxor Index Fund . It trades about -0.02 of its total potential returns per unit of risk. Lyxor Index Fund is currently generating about 0.07 per unit of volatility. If you would invest  12,509  in Lyxor Index Fund on December 30, 2024 and sell it today you would earn a total of  65.00  from holding Lyxor Index Fund or generate 0.52% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.44%
Values	Daily Returns

iShares Core MSCI  vs.  Lyxor Index Fund

iShares Core MSCI

Risk-Adjusted Performance

Very Weak

Over the last 90 days iShares Core MSCI has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, IShares Core is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Lyxor Index Fund

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor Index Fund are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Lyxor Index is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with IShares Core and Lyxor Index

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

The idea behind iShares Core MSCI and Lyxor Index Fund 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.