Correlation Between SP 500 and Lyxor MSCI
Can any of the company-specific risk be diversified away by investing in both SP 500 and Lyxor MSCI 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 SP 500 and Lyxor MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SP 500 VIX and Lyxor MSCI World, you can compare the effects of market volatilities on SP 500 and Lyxor MSCI 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 SP 500 with a short position of Lyxor MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Lyxor MSCI.
Diversification Opportunities for SP 500 and Lyxor MSCI
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between VILX and Lyxor is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 VIX and Lyxor MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI World and SP 500 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 SP 500 VIX are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI World has no effect on the direction of SP 500 i.e., SP 500 and Lyxor MSCI go up and down completely randomly.
Pair Corralation between SP 500 and Lyxor MSCI
Assuming the 90 days trading horizon SP 500 VIX is expected to generate 4.47 times more return on investment than Lyxor MSCI. However, SP 500 is 4.47 times more volatile than Lyxor MSCI World. It trades about 0.02 of its potential returns per unit of risk. Lyxor MSCI World is currently generating about -0.06 per unit of risk. If you would invest 176,382 in SP 500 VIX on December 3, 2024 and sell it today you would lose (8,581) from holding SP 500 VIX or give up 4.87% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
SP 500 VIX vs. Lyxor MSCI World
Performance |
Timeline |
SP 500 VIX |
Lyxor MSCI World |
SP 500 and Lyxor MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SP 500 and Lyxor MSCI
The main advantage of trading using opposite SP 500 and Lyxor MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SP 500 position performs unexpectedly, Lyxor MSCI 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 MSCI will offset losses from the drop in Lyxor MSCI's long position.SP 500 vs. iShares MSCI Japan | SP 500 vs. Amundi EUR High | SP 500 vs. iShares JP Morgan | SP 500 vs. Xtrackers MSCI |
Lyxor MSCI vs. Lyxor Smart Overnight | Lyxor MSCI vs. Lyxor UCITS EuroMTS | Lyxor MSCI vs. Lyxor Core UK | Lyxor MSCI vs. Lyxor Core Global |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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