Correlation Between AB Science and Transgene
Can any of the company-specific risk be diversified away by investing in both AB Science and Transgene 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 AB Science and Transgene into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AB Science SA and Transgene SA, you can compare the effects of market volatilities on AB Science and Transgene 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 AB Science with a short position of Transgene. Check out your portfolio center. Please also check ongoing floating volatility patterns of AB Science and Transgene.
Diversification Opportunities for AB Science and Transgene
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AB Science and Transgene is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding AB Science SA and Transgene SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transgene SA and AB Science 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 AB Science SA are associated (or correlated) with Transgene. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transgene SA has no effect on the direction of AB Science i.e., AB Science and Transgene go up and down completely randomly.
Pair Corralation between AB Science and Transgene
Assuming the 90 days horizon AB Science SA is expected to under-perform the Transgene. In addition to that, AB Science is 1.73 times more volatile than Transgene SA. It trades about -0.08 of its total potential returns per unit of risk. Transgene SA is currently generating about -0.06 per unit of volatility. If you would invest 186.00 in Transgene SA on August 31, 2024 and sell it today you would lose (112.00) from holding Transgene SA or give up 60.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.79% |
| Values | Daily Returns |
AB Science SA vs. Transgene SA
Performance |
| Timeline |
| AB Science SA |
| Transgene SA |
AB Science and Transgene Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AB Science and Transgene
The main advantage of trading using opposite AB Science and Transgene positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AB Science position performs unexpectedly, Transgene 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 Transgene will offset losses from the drop in Transgene's long position.The idea behind AB Science SA and Transgene SA 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.| Transgene vs. Innate Pharma | Transgene vs. Nanobiotix SA | Transgene vs. Genfit | Transgene vs. AB Science 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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