Correlation Between Lyxor 1 and Deka IBoxx
Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and Deka IBoxx 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 1 and Deka IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 1 and Deka iBoxx EUR, you can compare the effects of market volatilities on Lyxor 1 and Deka IBoxx 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 Deka IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and Deka IBoxx.
Diversification Opportunities for Lyxor 1 and Deka IBoxx
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lyxor and Deka is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and Deka iBoxx EUR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Deka iBoxx EUR 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 Deka IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Deka iBoxx EUR has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and Deka IBoxx go up and down completely randomly.
Pair Corralation between Lyxor 1 and Deka IBoxx
Assuming the 90 days trading horizon Lyxor 1 is expected to generate 3.4 times more return on investment than Deka IBoxx. However, Lyxor 1 is 3.4 times more volatile than Deka iBoxx EUR. It trades about 0.14 of its potential returns per unit of risk. Deka iBoxx EUR is currently generating about 0.12 per unit of risk. If you would invest 2,398 in Lyxor 1 on September 17, 2024 and sell it today you would earn a total of 182.00 from holding Lyxor 1 or generate 7.59% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 98.46% |
Values | Daily Returns |
Lyxor 1 vs. Deka iBoxx EUR
Performance |
Timeline |
Lyxor 1 |
Deka iBoxx EUR |
Lyxor 1 and Deka IBoxx Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Lyxor 1 and Deka IBoxx
The main advantage of trading using opposite Lyxor 1 and Deka IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, Deka IBoxx 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 Deka IBoxx will offset losses from the drop in Deka IBoxx's long position.Lyxor 1 vs. Lyxor Fed Funds | Lyxor 1 vs. Lyxor BofAML USD | Lyxor 1 vs. Lyxor Index Fund | Lyxor 1 vs. Lyxor 1 TecDAX |
Deka IBoxx vs. UBS Fund Solutions | Deka IBoxx vs. Xtrackers II | Deka IBoxx vs. Xtrackers Nikkei 225 | Deka IBoxx vs. iShares VII PLC |
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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