Correlation Between Lyxor 1 and Invesco Quantitative

Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and Invesco Quantitative 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 Invesco Quantitative into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Lyxor 1 and Invesco Quantitative Strats, you can compare the effects of market volatilities on Lyxor 1 and Invesco Quantitative 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 Invesco Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and Invesco Quantitative.

Diversification Opportunities for Lyxor 1 and Invesco Quantitative

0.64

Correlation Coefficient

Lyxor 1  Invesco Quantitative

Poor diversification

The 3 months correlation between Lyxor and Invesco is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and Invesco Quantitative Strats in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Quantitative 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 Invesco Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Quantitative has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and Invesco Quantitative go up and down completely randomly.

Pair Corralation between Lyxor 1 and Invesco Quantitative

Assuming the 90 days trading horizon Lyxor 1 is expected to generate 1.01 times less return on investment than Invesco Quantitative. In addition to that, Lyxor 1 is 1.46 times more volatile than Invesco Quantitative Strats. It trades about 0.13 of its total potential returns per unit of risk. Invesco Quantitative Strats is currently generating about 0.2 per unit of volatility. If you would invest  610.00  in Invesco Quantitative Strats on September 18, 2024 and sell it today you would earn a total of  48.00  from holding Invesco Quantitative Strats or generate 7.87% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	96.92%
Values	Daily Returns

Lyxor 1   vs.  Invesco Quantitative Strats

Lyxor 1

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor 1 are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Lyxor 1 may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Invesco Quantitative

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco Quantitative Strats are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of rather fragile fundamental indicators, Invesco Quantitative may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Lyxor 1 and Invesco Quantitative

The main advantage of trading using opposite Lyxor 1 and Invesco Quantitative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, Invesco Quantitative 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 Invesco Quantitative will offset losses from the drop in Invesco Quantitative's long position.

The idea behind Lyxor 1 and Invesco Quantitative Strats 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.