Correlation Between Moderna and CSL
Can any of the company-specific risk be diversified away by investing in both Moderna and CSL 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 CSL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Moderna and CSL Limited, you can compare the effects of market volatilities on Moderna and CSL 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 CSL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moderna and CSL.
Diversification Opportunities for Moderna and CSL
Poor diversification
The 3 months correlation between Moderna and CSL is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Moderna and CSL Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL Limited 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 CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL Limited has no effect on the direction of Moderna i.e., Moderna and CSL go up and down completely randomly.
Pair Corralation between Moderna and CSL
Assuming the 90 days horizon Moderna is expected to generate 2.48 times more return on investment than CSL. However, Moderna is 2.48 times more volatile than CSL Limited. It trades about -0.01 of its potential returns per unit of risk. CSL Limited is currently generating about -0.09 per unit of risk. If you would invest 3,928 in Moderna on September 23, 2024 and sell it today you would lose (70.00) from holding Moderna 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 |
Moderna vs. CSL Limited
Performance |
| Timeline |
| Moderna |
| CSL Limited |
Moderna and CSL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Moderna and CSL
The main advantage of trading using opposite Moderna and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moderna position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.| Moderna vs. Novo Nordisk AS | Moderna vs. CSL LTD SPONADR | Moderna vs. CSL Limited | Moderna vs. Mercedes Benz Group AG |
| CSL vs. Novo Nordisk AS | CSL vs. CSL LTD SPONADR | CSL vs. Mercedes Benz Group AG | CSL vs. Vertex Pharmaceuticals Incorporated |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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