Correlation Between Lyxor UCITS and Lyxor Core

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

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

Diversification Opportunities for Lyxor UCITS and Lyxor Core

0.53

Correlation Coefficient

Lyxor UCITS  Lyxor Core

Very weak diversification

The 3 months correlation between Lyxor and Lyxor is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS EuroMTS and Lyxor Core Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor Core Global and Lyxor UCITS 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 UCITS EuroMTS are associated (or correlated) with Lyxor Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor Core Global has no effect on the direction of Lyxor UCITS i.e., Lyxor UCITS and Lyxor Core go up and down completely randomly.

Pair Corralation between Lyxor UCITS and Lyxor Core

Assuming the 90 days trading horizon Lyxor UCITS EuroMTS is expected to generate 1.04 times more return on investment than Lyxor Core. However, Lyxor UCITS is 1.04 times more volatile than Lyxor Core Global. It trades about 0.02 of its potential returns per unit of risk. Lyxor Core Global is currently generating about -0.07 per unit of risk. If you would invest  1,384,400  in Lyxor UCITS EuroMTS on September 3, 2024 and sell it today you would earn a total of  8,200  from holding Lyxor UCITS EuroMTS or generate 0.59% return on investment over 90 days.

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

Lyxor UCITS EuroMTS  vs.  Lyxor Core Global

Lyxor UCITS EuroMTS

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor UCITS EuroMTS are ranked lower than 1 (%) 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.

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.

Pair Trading with Lyxor UCITS and Lyxor Core

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

The idea behind Lyxor UCITS EuroMTS and Lyxor Core Global 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.