Correlation Between Lyxor UCITS and Lyxor Treasury

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Can any of the company-specific risk be diversified away by investing in both Lyxor UCITS and Lyxor Treasury 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 Treasury into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor UCITS Stoxx and Lyxor Treasury 10Y, you can compare the effects of market volatilities on Lyxor UCITS and Lyxor Treasury 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 Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor UCITS and Lyxor Treasury.

Diversification Opportunities for Lyxor UCITS and Lyxor Treasury

LyxorLyxorDiversified AwayLyxorLyxorDiversified Away100%
0.14
  Correlation Coefficient

Average diversification

The 3 months correlation between Lyxor and Lyxor is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS Stoxx and Lyxor Treasury 10Y in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Treasury 10Y 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 Stoxx are associated (or correlated) with Lyxor Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Treasury 10Y has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Treasury go up and down completely randomly.

Pair Corralation between Lyxor UCITS and Lyxor Treasury

Assuming the 90 days trading horizon Lyxor UCITS Stoxx is expected to generate 1.11 times more return on investment than Lyxor Treasury. However, Lyxor UCITS is 1.11 times more volatile than Lyxor Treasury 10Y. It trades about 0.31 of its potential returns per unit of risk. Lyxor Treasury 10Y is currently generating about 0.16 per unit of risk. If you would invest  5,328  in Lyxor UCITS Stoxx on December 2, 2024 and sell it today you would earn a total of  608.00  from holding Lyxor UCITS Stoxx or generate 11.41% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Lyxor UCITS Stoxx  vs.  Lyxor Treasury 10Y

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -5051015
JavaScript chart by amCharts 3.21.15MSE US10
       Timeline  
Lyxor UCITS Stoxx 

Risk-Adjusted Performance

Solid

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS Stoxx are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak technical and fundamental indicators, Lyxor UCITS may actually be approaching a critical reversion point that can send shares even higher in April 2025.
JavaScript chart by amCharts 3.21.15JanFebFebMar525354555657585960
Lyxor Treasury 10Y 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Lyxor Treasury 10Y has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Lyxor Treasury is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15JanFebFebMar98100102104106

Lyxor UCITS and Lyxor Treasury Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-2.29-1.71-1.13-0.550.02180.661.291.922.563.19 0.10.20.30.40.50.60.7
JavaScript chart by amCharts 3.21.15MSE US10
       Returns  

Pair Trading with Lyxor UCITS and Lyxor Treasury

The main advantage of trading using opposite Lyxor UCITS and Lyxor Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor UCITS position performs unexpectedly, Lyxor Treasury 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 Treasury will offset losses from the drop in Lyxor Treasury's long position.
The idea behind Lyxor UCITS Stoxx and Lyxor Treasury 10Y 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.

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