Correlation Between Autoneum Holding and Lyxor SMI
Can any of the company-specific risk be diversified away by investing in both Autoneum Holding and Lyxor SMI 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 Autoneum Holding and Lyxor SMI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Autoneum Holding AG and Lyxor SMI Daily, you can compare the effects of market volatilities on Autoneum Holding and Lyxor SMI 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 Autoneum Holding with a short position of Lyxor SMI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Autoneum Holding and Lyxor SMI.
Diversification Opportunities for Autoneum Holding and Lyxor SMI
-0.9 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Autoneum and Lyxor is -0.9. Overlapping area represents the amount of risk that can be diversified away by holding Autoneum Holding AG and Lyxor SMI Daily in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor SMI Daily and Autoneum Holding 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 Autoneum Holding AG are associated (or correlated) with Lyxor SMI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor SMI Daily has no effect on the direction of Autoneum Holding i.e., Autoneum Holding and Lyxor SMI go up and down completely randomly.
Pair Corralation between Autoneum Holding and Lyxor SMI
Assuming the 90 days trading horizon Autoneum Holding AG is expected to under-perform the Lyxor SMI. But the stock apears to be less risky and, when comparing its historical volatility, Autoneum Holding AG is 1.15 times less risky than Lyxor SMI. The stock trades about -0.37 of its potential returns per unit of risk. The Lyxor SMI Daily is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 207.00 in Lyxor SMI Daily on September 2, 2024 and sell it today you would earn a total of 8.00 from holding Lyxor SMI Daily or generate 3.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Autoneum Holding AG vs. Lyxor SMI Daily
Performance |
| Timeline |
| Autoneum Holding |
| Lyxor SMI Daily |
Autoneum Holding and Lyxor SMI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Autoneum Holding and Lyxor SMI
The main advantage of trading using opposite Autoneum Holding and Lyxor SMI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Autoneum Holding position performs unexpectedly, Lyxor SMI 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 SMI will offset losses from the drop in Lyxor SMI's long position.| Autoneum Holding vs. Rieter Holding AG | Autoneum Holding vs. Comet Holding AG | Autoneum Holding vs. VAT Group AG | Autoneum Holding vs. Bossard Holding AG |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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