Correlation Analysis Between Lyxor MSCI and Facebook

This module allows you to analyze existing cross correlation between Lyxor MSCI EMU Growth ETF D EUR and Facebook. You can compare the effects of market volatilities on Lyxor MSCI and Facebook 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 Facebook. See also your portfolio center. Please also check ongoing floating volatility patterns of Lyxor MSCI and Facebook.
Horizon     30 Days    Login   to change
Symbolsvs

Lyxor MSCI EMU Growth ETF D EU  vs.  Facebook Inc

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Lyxor MSCI EMU Growth ETF D EUR is expected to under-perform the Facebook. But the etf apears to be less risky and, when comparing its historical volatility, Lyxor MSCI EMU Growth ETF D EUR is 1.17 times less risky than Facebook. The etf trades about -0.38 of its potential returns per unit of risk. The Facebook is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  16,058  in Facebook on September 16, 2018 and sell it today you would lose (180.00)  from holding Facebook or give up 1.12% of portfolio value over 30 days.

Pair Corralation between Lyxor MSCI and Facebook

0.01
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy54.55%
ValuesDaily Returns

Diversification

Significant diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Lyxor MSCI EMU  
0 

Risk-Adjusted Performance

Over the last 30 days Lyxor MSCI EMU Growth ETF D EUR has generated negative risk-adjusted returns adding no value to investors with long positions.
Facebook  
0 

Risk-Adjusted Performance

Over the last 30 days Facebook has generated negative risk-adjusted returns adding no value to investors with long positions.

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