Correlation Between Lyxor MSCI and SPDR Barclays

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

By analyzing existing cross correlation between Lyxor MSCI Brazil and SPDR Barclays Cap, you can compare the effects of market volatilities on Lyxor MSCI and SPDR Barclays 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 MSCI with a short position of SPDR Barclays. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and SPDR Barclays.

Diversification Opportunities for Lyxor MSCI and SPDR Barclays

-0.72

Correlation Coefficient

Lyxor MSCI  SPDR Barclays

Pay attention - limited upside

The 3 months correlation between Lyxor and SPDR is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor MSCI Brazil and SPDR Barclays Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR Barclays Cap and Lyxor MSCI 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 MSCI Brazil are associated (or correlated) with SPDR Barclays. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR Barclays Cap has no effect on the direction of Lyxor MSCI i.e., Lyxor MSCI and SPDR Barclays go up and down completely randomly.

Pair Corralation between Lyxor MSCI and SPDR Barclays

Assuming the 90 days trading horizon Lyxor MSCI Brazil is expected to under-perform the SPDR Barclays. In addition to that, Lyxor MSCI is 4.06 times more volatile than SPDR Barclays Cap. It trades about -0.09 of its total potential returns per unit of risk. SPDR Barclays Cap is currently generating about 0.15 per unit of volatility. If you would invest  9,012  in SPDR Barclays Cap on September 13, 2024 and sell it today you would earn a total of  295.00  from holding SPDR Barclays Cap or generate 3.27% return on investment over 90 days.

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

Lyxor MSCI Brazil  vs.  SPDR Barclays Cap

Lyxor MSCI Brazil

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Lyxor MSCI Brazil has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Etf's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the ETF investors.

SPDR Barclays Cap

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR Barclays Cap are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, SPDR Barclays is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Lyxor MSCI and SPDR Barclays

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

The idea behind Lyxor MSCI Brazil and SPDR Barclays Cap 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.