Correlation Between Lyxor Japan and PIMCO Euro
Can any of the company-specific risk be diversified away by investing in both Lyxor Japan and PIMCO Euro 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 Japan and PIMCO Euro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor Japan UCITS and PIMCO Euro Short, you can compare the effects of market volatilities on Lyxor Japan and PIMCO Euro 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 Japan with a short position of PIMCO Euro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor Japan and PIMCO Euro.
Diversification Opportunities for Lyxor Japan and PIMCO Euro
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lyxor and PIMCO is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Japan UCITS and PIMCO Euro Short in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO Euro Short and Lyxor Japan 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 Japan UCITS are associated (or correlated) with PIMCO Euro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO Euro Short has no effect on the direction of Lyxor Japan i.e., Lyxor Japan and PIMCO Euro go up and down completely randomly.
Pair Corralation between Lyxor Japan and PIMCO Euro
Assuming the 90 days trading horizon Lyxor Japan is expected to generate 1.24 times less return on investment than PIMCO Euro. In addition to that, Lyxor Japan is 23.95 times more volatile than PIMCO Euro Short. It trades about 0.02 of its total potential returns per unit of risk. PIMCO Euro Short is currently generating about 0.59 per unit of volatility. If you would invest 10,278 in PIMCO Euro Short on September 13, 2024 and sell it today you would earn a total of 34.00 from holding PIMCO Euro Short or generate 0.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor Japan UCITS vs. PIMCO Euro Short
Performance |
| Timeline |
| Lyxor Japan UCITS |
| PIMCO Euro Short |
Lyxor Japan and PIMCO Euro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor Japan and PIMCO Euro
The main advantage of trading using opposite Lyxor Japan and PIMCO Euro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor Japan position performs unexpectedly, PIMCO Euro 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 PIMCO Euro will offset losses from the drop in PIMCO Euro's long position.| Lyxor Japan vs. Lyxor Japan UCITS | Lyxor Japan vs. Lyxor Euro Government | Lyxor Japan vs. Lyxor MSCI China |
| PIMCO Euro vs. PIMCO Short Term High | PIMCO Euro vs. PIMCO Short Term High | PIMCO Euro vs. PIMCO Euro Short Term | PIMCO Euro vs. PIMCO Low Duration |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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