Correlation Between Moderna and BioNTech
Can any of the company-specific risk be diversified away by investing in both Moderna and BioNTech 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 Moderna and BioNTech into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Moderna and BioNTech SE, you can compare the effects of market volatilities on Moderna and BioNTech 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 Moderna with a short position of BioNTech. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moderna and BioNTech.
Diversification Opportunities for Moderna and BioNTech
Excellent diversification
The 3 months correlation between Moderna and BioNTech is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Moderna and BioNTech SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BioNTech SE and Moderna 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 Moderna are associated (or correlated) with BioNTech. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BioNTech SE has no effect on the direction of Moderna i.e., Moderna and BioNTech go up and down completely randomly.
Pair Corralation between Moderna and BioNTech
Assuming the 90 days horizon Moderna is expected to under-perform the BioNTech. In addition to that, Moderna is 1.35 times more volatile than BioNTech SE. It trades about -0.04 of its total potential returns per unit of risk. BioNTech SE is currently generating about 0.03 per unit of volatility. If you would invest 8,798 in BioNTech SE on August 25, 2024 and sell it today you would earn a total of 1,502 from holding BioNTech SE or generate 17.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Moderna vs. BioNTech SE
Performance |
| Timeline |
| Moderna |
| BioNTech SE |
Moderna and BioNTech Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Moderna and BioNTech
The main advantage of trading using opposite Moderna and BioNTech positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moderna position performs unexpectedly, BioNTech 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 BioNTech will offset losses from the drop in BioNTech's long position.The idea behind Moderna and BioNTech SE 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.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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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