Correlation Between Lyxor MSCI and Lyxor Euro
Can any of the company-specific risk be diversified away by investing in both Lyxor MSCI and Lyxor Euro 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 Euro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor MSCI China and Lyxor Euro Government, you can compare the effects of market volatilities on Lyxor MSCI and Lyxor Euro 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 Euro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Lyxor Euro.
Diversification Opportunities for Lyxor MSCI and Lyxor Euro
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Lyxor and Lyxor is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI China and Lyxor Euro Government in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Euro Government 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 China are associated (or correlated) with Lyxor Euro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Euro Government has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and Lyxor Euro go up and down completely randomly.
Pair Corralation between Lyxor MSCI and Lyxor Euro
Assuming the 90 days trading horizon Lyxor MSCI China is expected to generate 6.15 times more return on investment than Lyxor Euro. However, Lyxor MSCI is 6.15 times more volatile than Lyxor Euro Government. It trades about 0.14 of its potential returns per unit of risk. Lyxor Euro Government is currently generating about 0.01 per unit of risk. If you would invest 1,252 in Lyxor MSCI China on September 15, 2024 and sell it today you would earn a total of 315.00 from holding Lyxor MSCI China or generate 25.16% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Lyxor MSCI China vs. Lyxor Euro Government
Performance |
Timeline |
Lyxor MSCI China |
Lyxor Euro Government |
Lyxor MSCI and Lyxor Euro Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Lyxor MSCI and Lyxor Euro
The main advantage of trading using opposite Lyxor MSCI and Lyxor Euro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor MSCI position performs unexpectedly, Lyxor Euro 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 Euro will offset losses from the drop in Lyxor Euro's long position.Lyxor MSCI vs. Baloise Holding AG | Lyxor MSCI vs. 21Shares Polkadot ETP | Lyxor MSCI vs. UBS ETF MSCI | Lyxor MSCI vs. BB Biotech AG |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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