Correlation Between Astellas Pharma and Roche Holding
Can any of the company-specific risk be diversified away by investing in both Astellas Pharma and Roche Holding 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 Astellas Pharma and Roche Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Astellas Pharma and Roche Holding AG, you can compare the effects of market volatilities on Astellas Pharma and Roche Holding 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 Astellas Pharma with a short position of Roche Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astellas Pharma and Roche Holding.
Diversification Opportunities for Astellas Pharma and Roche Holding
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Astellas and Roche is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Astellas Pharma and Roche Holding AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding AG and Astellas Pharma 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 Astellas Pharma are associated (or correlated) with Roche Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Roche Holding AG has no effect on the direction of Astellas Pharma i.e., Astellas Pharma and Roche Holding go up and down completely randomly.
Pair Corralation between Astellas Pharma and Roche Holding
Assuming the 90 days horizon Astellas Pharma is expected to under-perform the Roche Holding. But the pink sheet apears to be less risky and, when comparing its historical volatility, Astellas Pharma is 1.69 times less risky than Roche Holding. The pink sheet trades about -0.16 of its potential returns per unit of risk. The Roche Holding AG is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest 36,317 in Roche Holding AG on August 31, 2024 and sell it today you would lose (6,025) from holding Roche Holding AG or give up 16.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Astellas Pharma vs. Roche Holding AG
Performance |
| Timeline |
| Astellas Pharma |
| Roche Holding AG |
Astellas Pharma and Roche Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Astellas Pharma and Roche Holding
The main advantage of trading using opposite Astellas Pharma and Roche Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astellas Pharma position performs unexpectedly, Roche Holding 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 Roche Holding will offset losses from the drop in Roche Holding's long position.| Astellas Pharma vs. Bristol Myers Squibb | Astellas Pharma vs. Bayer AG | Astellas Pharma vs. Daiichi Sankyo | Astellas Pharma vs. AstraZeneca PLC |
| Roche Holding vs. Novartis AG | Roche Holding vs. AstraZeneca PLC | Roche Holding vs. Roche Holding Ltd | Roche Holding vs. Sanofi ADR |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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