Correlation Between Lumine and Aurora Cannabis
Can any of the company-specific risk be diversified away by investing in both Lumine and Aurora Cannabis 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 Lumine and Aurora Cannabis into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lumine Group and Aurora Cannabis, you can compare the effects of market volatilities on Lumine and Aurora Cannabis 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 Lumine with a short position of Aurora Cannabis. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lumine and Aurora Cannabis.
Diversification Opportunities for Lumine and Aurora Cannabis
-0.55 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Lumine and Aurora is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Lumine Group and Aurora Cannabis in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aurora Cannabis and Lumine 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 Lumine Group are associated (or correlated) with Aurora Cannabis. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aurora Cannabis has no effect on the direction of Lumine i.e., Lumine and Aurora Cannabis go up and down completely randomly.
Pair Corralation between Lumine and Aurora Cannabis
Assuming the 90 days horizon Lumine Group is expected to generate 0.86 times more return on investment than Aurora Cannabis. However, Lumine Group is 1.16 times less risky than Aurora Cannabis. It trades about -0.15 of its potential returns per unit of risk. Aurora Cannabis is currently generating about -0.27 per unit of risk. If you would invest 4,113 in Lumine Group on November 2, 2024 and sell it today you would lose (293.00) from holding Lumine Group or give up 7.12% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Lumine Group vs. Aurora Cannabis
Performance |
| Timeline |
| Lumine Group |
| Aurora Cannabis |
Lumine and Aurora Cannabis Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lumine and Aurora Cannabis
The main advantage of trading using opposite Lumine and Aurora Cannabis positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lumine position performs unexpectedly, Aurora Cannabis 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 Aurora Cannabis will offset losses from the drop in Aurora Cannabis' long position.| Lumine vs. Topicus | Lumine vs. Constellation Software | Lumine vs. Brookfield | Lumine vs. Brookfield Asset Management |
| Aurora Cannabis vs. Canopy Growth Corp | Aurora Cannabis vs. Cronos Group | Aurora Cannabis vs. Air Canada | Aurora Cannabis vs. BlackBerry |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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