Correlation Between Amgen and Bayer AG
Can any of the company-specific risk be diversified away by investing in both Amgen and Bayer AG 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 Amgen and Bayer AG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amgen Inc and Bayer AG NA, you can compare the effects of market volatilities on Amgen and Bayer AG 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 Amgen with a short position of Bayer AG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amgen and Bayer AG.
Diversification Opportunities for Amgen and Bayer AG
Very weak diversification
The 3 months correlation between Amgen and Bayer is 0.55. Overlapping area represents the amount of risk that can be diversified away by holding Amgen Inc and Bayer AG NA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bayer AG NA and Amgen 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 Amgen Inc are associated (or correlated) with Bayer AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bayer AG NA has no effect on the direction of Amgen i.e., Amgen and Bayer AG go up and down completely randomly.
Pair Corralation between Amgen and Bayer AG
Assuming the 90 days horizon Amgen Inc is expected to generate 0.79 times more return on investment than Bayer AG. However, Amgen Inc is 1.26 times less risky than Bayer AG. It trades about 0.02 of its potential returns per unit of risk. Bayer AG NA is currently generating about -0.08 per unit of risk. If you would invest 25,100 in Amgen Inc on August 25, 2024 and sell it today you would earn a total of 2,610 from holding Amgen Inc or generate 10.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.41% |
| Values | Daily Returns |
Amgen Inc vs. Bayer AG NA
Performance |
| Timeline |
| Amgen Inc |
| Bayer AG NA |
Amgen and Bayer AG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amgen and Bayer AG
The main advantage of trading using opposite Amgen and Bayer AG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amgen position performs unexpectedly, Bayer AG 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 Bayer AG will offset losses from the drop in Bayer AG's long position.| Amgen vs. Playtech plc | Amgen vs. Playa Hotels Resorts | Amgen vs. GREENX METALS LTD | Amgen vs. JD SPORTS FASH |
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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