Correlation Between Axsome Therapeutics and Aurinia Pharmaceuticals
Can any of the company-specific risk be diversified away by investing in both Axsome Therapeutics and Aurinia Pharmaceuticals 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 Axsome Therapeutics and Aurinia Pharmaceuticals into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Axsome Therapeutics and Aurinia Pharmaceuticals, you can compare the effects of market volatilities on Axsome Therapeutics and Aurinia Pharmaceuticals 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 Axsome Therapeutics with a short position of Aurinia Pharmaceuticals. Check out your portfolio center. Please also check ongoing floating volatility patterns of Axsome Therapeutics and Aurinia Pharmaceuticals.
Diversification Opportunities for Axsome Therapeutics and Aurinia Pharmaceuticals
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Axsome and Aurinia is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Axsome Therapeutics and Aurinia Pharmaceuticals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aurinia Pharmaceuticals and Axsome Therapeutics 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 Axsome Therapeutics are associated (or correlated) with Aurinia Pharmaceuticals. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aurinia Pharmaceuticals has no effect on the direction of Axsome Therapeutics i.e., Axsome Therapeutics and Aurinia Pharmaceuticals go up and down completely randomly.
Pair Corralation between Axsome Therapeutics and Aurinia Pharmaceuticals
Given the investment horizon of 90 days Axsome Therapeutics is expected to generate 2.11 times less return on investment than Aurinia Pharmaceuticals. But when comparing it to its historical volatility, Axsome Therapeutics is 1.41 times less risky than Aurinia Pharmaceuticals. It trades about 0.03 of its potential returns per unit of risk. Aurinia Pharmaceuticals is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 468.00 in Aurinia Pharmaceuticals on August 30, 2024 and sell it today you would earn a total of 417.00 from holding Aurinia Pharmaceuticals or generate 89.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Axsome Therapeutics vs. Aurinia Pharmaceuticals
Performance |
| Timeline |
| Axsome Therapeutics |
| Aurinia Pharmaceuticals |
Axsome Therapeutics and Aurinia Pharmaceuticals Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Axsome Therapeutics and Aurinia Pharmaceuticals
The main advantage of trading using opposite Axsome Therapeutics and Aurinia Pharmaceuticals positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Axsome Therapeutics position performs unexpectedly, Aurinia Pharmaceuticals 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 Aurinia Pharmaceuticals will offset losses from the drop in Aurinia Pharmaceuticals' long position.| Axsome Therapeutics vs. Incyte | Axsome Therapeutics vs. Sarepta Therapeutics | Axsome Therapeutics vs. ACADIA Pharmaceuticals | Axsome Therapeutics vs. Viking Therapeutics |
| Aurinia Pharmaceuticals vs. Viking Therapeutics | Aurinia Pharmaceuticals vs. Axsome Therapeutics | Aurinia Pharmaceuticals vs. Madrigal Pharmaceuticals | Aurinia Pharmaceuticals vs. Seres Therapeutics |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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