Correlation Between IShares MSCI and Lyxor MSCI

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

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

Diversification Opportunities for IShares MSCI and Lyxor MSCI

0.7

Correlation Coefficient

IShares MSCI  Lyxor MSCI

Poor diversification

The 3 months correlation between IShares and Lyxor is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI Global and Lyxor MSCI Brazil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor MSCI Brazil and IShares 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 iShares MSCI Global are associated (or correlated) with Lyxor MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor MSCI Brazil has no effect on the direction of IShares MSCI i.e., IShares MSCI and Lyxor MSCI go up and down completely randomly.

Pair Corralation between IShares MSCI and Lyxor MSCI

Assuming the 90 days trading horizon iShares MSCI Global is expected to generate 1.24 times more return on investment than Lyxor MSCI. However, IShares MSCI is 1.24 times more volatile than Lyxor MSCI Brazil. It trades about 0.28 of its potential returns per unit of risk. Lyxor MSCI Brazil is currently generating about 0.04 per unit of risk. If you would invest  631.00  in iShares MSCI Global on April 25, 2025 and sell it today you would earn a total of  202.00  from holding iShares MSCI Global or generate 32.01% return on investment over 90 days.

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

iShares MSCI Global  vs.  Lyxor MSCI Brazil

iShares MSCI Global

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in iShares MSCI Global are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. In spite of fairly uncertain basic indicators, IShares MSCI showed solid returns over the last few months and may actually be approaching a breakup point.

Lyxor MSCI Brazil

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor MSCI Brazil are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Lyxor MSCI is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with IShares MSCI and Lyxor MSCI

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

The idea behind iShares MSCI Global and Lyxor MSCI Brazil 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.

Check out your portfolio center.

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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..