Correlation Between Lyxor 1 and Immutep
Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and Immutep 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 1 and Immutep into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor 1 and Immutep, you can compare the effects of market volatilities on Lyxor 1 and Immutep 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 1 with a short position of Immutep. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and Immutep.
Diversification Opportunities for Lyxor 1 and Immutep
Very good diversification
The 3 months correlation between Lyxor and Immutep is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and Immutep in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immutep and Lyxor 1 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 1 are associated (or correlated) with Immutep. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immutep has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and Immutep go up and down completely randomly.
Pair Corralation between Lyxor 1 and Immutep
Assuming the 90 days trading horizon Lyxor 1 is expected to generate 122.15 times less return on investment than Immutep. But when comparing it to its historical volatility, Lyxor 1 is 46.8 times less risky than Immutep. It trades about 0.02 of its potential returns per unit of risk. Immutep is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 22.00 in Immutep on August 27, 2024 and sell it today you would lose (3.00) from holding Immutep or give up 13.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor 1 vs. Immutep
Performance |
| Timeline |
| Lyxor 1 |
| Immutep |
Lyxor 1 and Immutep Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor 1 and Immutep
The main advantage of trading using opposite Lyxor 1 and Immutep positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, Immutep 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 Immutep will offset losses from the drop in Immutep's long position.| Lyxor 1 vs. Lyxor Fed Funds | Lyxor 1 vs. Lyxor BofAML USD | Lyxor 1 vs. Lyxor Index Fund | Lyxor 1 vs. Lyxor 1 TecDAX |
| Immutep vs. Ribbon Communications | Immutep vs. ANTA SPORTS PRODUCT | Immutep vs. Consolidated Communications Holdings | Immutep vs. Iridium Communications |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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