Correlation Between Lyxor UCITS and Lyxor 1

Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor 1 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 UCITS and Lyxor 1 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Lyxor UCITS EuroMTS and Lyxor 1 , you can compare the effects of market volatilities on Lyxor UCITS and Lyxor 1 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 UCITS with a short position of Lyxor 1. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor 1.

Diversification Opportunities for Lyxor UCITS and Lyxor 1

0.39

Correlation Coefficient

Lyxor UCITS  Lyxor 1

Weak diversification

The 3 months correlation between Lyxor and Lyxor is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS EuroMTS and Lyxor 1 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor 1 and Lyxor UCITS 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 UCITS EuroMTS are associated (or correlated) with Lyxor 1. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor 1 has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor 1 go up and down completely randomly.

Pair Corralation between Lyxor UCITS and Lyxor 1

Assuming the 90 days trading horizon Lyxor UCITS EuroMTS is expected to generate 0.09 times more return on investment than Lyxor 1. However, Lyxor UCITS EuroMTS is 11.56 times less risky than Lyxor 1. It trades about 0.26 of its potential returns per unit of risk. Lyxor 1 is currently generating about 0.01 per unit of risk. If you would invest  12,322  in Lyxor UCITS EuroMTS on August 31, 2024 and sell it today you would earn a total of  166.00  from holding Lyxor UCITS EuroMTS or generate 1.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Lyxor UCITS EuroMTS  vs.  Lyxor 1

Lyxor UCITS EuroMTS

Risk-Adjusted Performance

20 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS EuroMTS are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, Lyxor UCITS is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Lyxor 1

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Lyxor 1 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Lyxor 1 is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Lyxor UCITS and Lyxor 1

The main advantage of trading using opposite Lyxor UCITS and Lyxor 1 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor 1 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 1 will offset losses from the drop in Lyxor 1's long position.

The idea behind Lyxor UCITS EuroMTS and Lyxor 1 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.