Pair Correlation Between LYXOR MSCI and Facebook

This module allows you to analyze existing cross correlation between LYXOR MSCI EMU GROWTH DR UCITS and Facebook Inc. 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 LYXOR MSCI EMU GROWTH DR UCITS  vs   Facebook Inc
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, LYXOR MSCI EMU GROWTH DR UCITS 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 DR UCITS is 2.21 times less risky than Facebook. The etf trades about -0.02 of its potential returns per unit of risk. The Facebook Inc is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  17,498  in Facebook Inc on October 20, 2017 and sell it today you would earn a total of  402  from holding Facebook Inc or generate 2.3% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between LYXOR MSCI and Facebook
0.46

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding LYXOR MSCI EMU GROWTH DR UCITS and Facebook Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Facebook Inc 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 DR UCITS 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 Inc 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 DR UCITS has generated negative risk-adjusted returns adding no value to investors with long positions.

Facebook Inc

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Facebook Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.