Correlation Between Lyxor BofAML and Lyxor Index

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

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

Diversification Opportunities for Lyxor BofAML and Lyxor Index

-0.1

Correlation Coefficient

Lyxor BofAML  Lyxor Index

Good diversification

The 3 months correlation between Lyxor and Lyxor is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor BofAML USD 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 Lyxor BofAML 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 BofAML USD 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 Lyxor BofAML i.e., Lyxor BofAML and Lyxor Index go up and down completely randomly.

Pair Corralation between Lyxor BofAML and Lyxor Index

Assuming the 90 days trading horizon Lyxor BofAML USD is expected to under-perform the Lyxor Index. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor BofAML USD is 1.89 times less risky than Lyxor Index. The etf trades about -0.05 of its potential returns per unit of risk. The Lyxor Index Fund is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  6,664  in Lyxor Index Fund on September 15, 2024 and sell it today you would earn a total of  195.00  from holding Lyxor Index Fund or generate 2.93% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	84.62%
Values	Daily Returns

Lyxor BofAML USD  vs.  Lyxor Index Fund

Lyxor BofAML USD

Risk-Adjusted Performance

0 of 100

Very Weak

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

Lyxor Index Fund

Risk-Adjusted Performance

5 of 100

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 Lyxor BofAML and Lyxor Index

The main advantage of trading using opposite Lyxor BofAML and Lyxor Index positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor BofAML 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 Lyxor BofAML USD 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.