Correlation Between Lyxor 1 and ALM Offensif
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By analyzing existing cross correlation between Lyxor 1 and ALM Offensif, you can compare the effects of market volatilities on Lyxor 1 and ALM Offensif 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 1 with a short position of ALM Offensif. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and ALM Offensif.
Diversification Opportunities for Lyxor 1 and ALM Offensif
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and ALM is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and ALM Offensif in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ALM Offensif and Lyxor 1 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 1 are associated (or correlated) with ALM Offensif. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ALM Offensif has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and ALM Offensif go up and down completely randomly.
Pair Corralation between Lyxor 1 and ALM Offensif
Assuming the 90 days trading horizon Lyxor 1 is expected to generate 1.83 times more return on investment than ALM Offensif. However, Lyxor 1 is 1.83 times more volatile than ALM Offensif. It trades about 0.13 of its potential returns per unit of risk. ALM Offensif is currently generating about 0.24 per unit of risk. If you would invest 2,343 in Lyxor 1 on September 6, 2024 and sell it today you would earn a total of 176.00 from holding Lyxor 1 or generate 7.51% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 98.44% |
Values | Daily Returns |
Lyxor 1 vs. ALM Offensif
Performance |
Timeline |
Lyxor 1 |
ALM Offensif |
Lyxor 1 and ALM Offensif Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Lyxor 1 and ALM Offensif
The main advantage of trading using opposite Lyxor 1 and ALM Offensif positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, ALM Offensif 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 ALM Offensif will offset losses from the drop in ALM Offensif's long position.Lyxor 1 vs. UBS Fund Solutions | Lyxor 1 vs. Xtrackers II | Lyxor 1 vs. SPDR Gold Shares | Lyxor 1 vs. Vanguard Funds Public |
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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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