Correlation Between Lyxor PEA and Lyxor CAC
Can any of the company-specific risk be diversified away by investing in both Lyxor PEA and Lyxor CAC 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 PEA and Lyxor CAC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lyxor PEA Nasdaq and Lyxor CAC 40, you can compare the effects of market volatilities on Lyxor PEA and Lyxor CAC 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 PEA with a short position of Lyxor CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor PEA and Lyxor CAC.
Diversification Opportunities for Lyxor PEA and Lyxor CAC
Excellent diversification
The 3 months correlation between Lyxor and Lyxor is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor PEA Nasdaq and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 and Lyxor PEA 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 PEA Nasdaq are associated (or correlated) with Lyxor CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of Lyxor PEA i.e., Lyxor PEA and Lyxor CAC go up and down completely randomly.
Pair Corralation between Lyxor PEA and Lyxor CAC
Assuming the 90 days trading horizon Lyxor PEA Nasdaq is expected to generate 1.51 times more return on investment than Lyxor CAC. However, Lyxor PEA is 1.51 times more volatile than Lyxor CAC 40. It trades about 0.14 of its potential returns per unit of risk. Lyxor CAC 40 is currently generating about -0.21 per unit of risk. If you would invest 7,597 in Lyxor PEA Nasdaq on August 30, 2024 and sell it today you would earn a total of 321.00 from holding Lyxor PEA Nasdaq or generate 4.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lyxor PEA Nasdaq vs. Lyxor CAC 40
Performance |
| Timeline |
| Lyxor PEA Nasdaq |
| Lyxor CAC 40 |
Lyxor PEA and Lyxor CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lyxor PEA and Lyxor CAC
The main advantage of trading using opposite Lyxor PEA and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor PEA position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC's long position.| Lyxor PEA vs. Manitou BF SA | Lyxor PEA vs. Ossiam Minimum Variance | Lyxor PEA vs. Ekinops SA | Lyxor PEA vs. Orapi SA |
| Lyxor CAC vs. Manitou BF SA | Lyxor CAC vs. Ossiam Minimum Variance | Lyxor CAC vs. Ekinops SA | Lyxor CAC vs. Orapi SA |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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