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 Ltd, 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
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Astellas and Roche is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Astellas Pharma and Roche Holding Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding 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 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. In addition to that, Astellas Pharma is 1.18 times more volatile than Roche Holding Ltd. It trades about -0.04 of its total potential returns per unit of risk. Roche Holding Ltd is currently generating about 0.03 per unit of volatility. If you would invest 3,296 in Roche Holding Ltd on August 27, 2024 and sell it today you would earn a total of 248.00 from holding Roche Holding Ltd or generate 7.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Astellas Pharma vs. Roche Holding Ltd
Performance |
| Timeline |
| Astellas Pharma |
| Roche Holding |
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. Sanofi ADR | Roche Holding vs. AstraZeneca PLC ADR | Roche Holding vs. GlaxoSmithKline PLC ADR | Roche Holding vs. Merck Company |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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