Correlation Between Lyxor 1 and SHIONOGI

Can any of the company-specific risk be diversified away by investing in both Lyxor 1 and SHIONOGI 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 SHIONOGI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Lyxor 1 and SHIONOGI LTD, you can compare the effects of market volatilities on Lyxor 1 and SHIONOGI 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 SHIONOGI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lyxor 1 and SHIONOGI.

Diversification Opportunities for Lyxor 1 and SHIONOGI

0.66

Correlation Coefficient

Lyxor 1  SHIONOGI

Poor diversification

The 3 months correlation between Lyxor and SHIONOGI is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Lyxor 1 and SHIONOGI LTD in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SHIONOGI LTD 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 SHIONOGI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SHIONOGI LTD has no effect on the direction of Lyxor 1 i.e., Lyxor 1 and SHIONOGI go up and down completely randomly.

Pair Corralation between Lyxor 1 and SHIONOGI

Assuming the 90 days trading horizon Lyxor 1 is expected to generate 0.53 times more return on investment than SHIONOGI. However, Lyxor 1 is 1.87 times less risky than SHIONOGI. It trades about 0.0 of its potential returns per unit of risk. SHIONOGI LTD is currently generating about -0.03 per unit of risk. If you would invest  2,529  in Lyxor 1 on October 7, 2024 and sell it today you would lose (45.00) from holding Lyxor 1 or give up 1.78% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Lyxor 1   vs.  SHIONOGI LTD

Lyxor 1

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Lyxor 1 are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Lyxor 1 is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

SHIONOGI LTD

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SHIONOGI LTD are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, SHIONOGI is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Lyxor 1 and SHIONOGI

The main advantage of trading using opposite Lyxor 1 and SHIONOGI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lyxor 1 position performs unexpectedly, SHIONOGI 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 SHIONOGI will offset losses from the drop in SHIONOGI's long position.

The idea behind Lyxor 1 and SHIONOGI LTD pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.