Correlation Between Amgen and Roche Holding
Can any of the company-specific risk be diversified away by investing in both Amgen 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 Amgen and Roche Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amgen Inc and Roche Holding Ltd, you can compare the effects of market volatilities on Amgen 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 Amgen with a short position of Roche Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amgen and Roche Holding.
Diversification Opportunities for Amgen and Roche Holding
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Amgen and Roche is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Amgen Inc and Roche Holding Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding 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 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 Amgen i.e., Amgen and Roche Holding go up and down completely randomly.
Pair Corralation between Amgen and Roche Holding
Given the investment horizon of 90 days Amgen Inc is expected to generate 1.11 times more return on investment than Roche Holding. However, Amgen is 1.11 times more volatile than Roche Holding Ltd. It trades about 0.02 of its potential returns per unit of risk. Roche Holding Ltd is currently generating about 0.0 per unit of risk. If you would invest 25,818 in Amgen Inc on August 28, 2024 and sell it today you would earn a total of 2,183 from holding Amgen Inc or generate 8.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.79% |
| Values | Daily Returns |
Amgen Inc vs. Roche Holding Ltd
Performance |
| Timeline |
| Amgen Inc |
| Roche Holding |
Amgen and Roche Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amgen and Roche Holding
The main advantage of trading using opposite Amgen and Roche Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amgen 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.| Amgen vs. Eliem Therapeutics | Amgen vs. Scpharmaceuticals | Amgen vs. Milestone Pharmaceuticals | Amgen vs. Seres Therapeutics |
| 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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