Correlation Between Lyxor Core and Lyxor UCITS

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

By analyzing existing cross correlation between Lyxor Core Global and Lyxor UCITS iBoxx, you can compare the effects of market volatilities on Lyxor Core and Lyxor UCITS 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 Core with a short position of Lyxor UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Core and Lyxor UCITS.

Diversification Opportunities for Lyxor Core and Lyxor UCITS

-0.83

Correlation Coefficient

Lyxor Core  Lyxor UCITS

Pay attention - limited upside

The 3 months correlation between Lyxor and Lyxor is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Core Global and Lyxor UCITS iBoxx in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor UCITS iBoxx and Lyxor Core 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 Core Global are associated (or correlated) with Lyxor UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor UCITS iBoxx has no effect on the direction of Lyxor Core i.e., Lyxor Core and Lyxor UCITS go up and down completely randomly.

Pair Corralation between Lyxor Core and Lyxor UCITS

Assuming the 90 days trading horizon Lyxor Core Global is expected to under-perform the Lyxor UCITS. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor Core Global is 1.1 times less risky than Lyxor UCITS. The etf trades about -0.07 of its potential returns per unit of risk. The Lyxor UCITS iBoxx is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  769,200  in Lyxor UCITS iBoxx on September 3, 2024 and sell it today you would earn a total of  26,100  from holding Lyxor UCITS iBoxx or generate 3.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Lyxor Core Global  vs.  Lyxor UCITS iBoxx

Lyxor Core Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Lyxor Core Global has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Lyxor Core is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Lyxor UCITS iBoxx

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS iBoxx are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Lyxor UCITS is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Lyxor Core and Lyxor UCITS

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

The idea behind Lyxor Core Global and Lyxor UCITS iBoxx 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.