Correlation Between Genmab AS and BioPorto
Can any of the company-specific risk be diversified away by investing in both Genmab AS and BioPorto 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 Genmab AS and BioPorto into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Genmab AS and BioPorto, you can compare the effects of market volatilities on Genmab AS and BioPorto 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 Genmab AS with a short position of BioPorto. Check out your portfolio center. Please also check ongoing floating volatility patterns of Genmab AS and BioPorto.
Diversification Opportunities for Genmab AS and BioPorto
Poor diversification
The 3 months correlation between Genmab and BioPorto is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Genmab AS and BioPorto in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BioPorto and Genmab AS 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 Genmab AS are associated (or correlated) with BioPorto. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BioPorto has no effect on the direction of Genmab AS i.e., Genmab AS and BioPorto go up and down completely randomly.
Pair Corralation between Genmab AS and BioPorto
Assuming the 90 days trading horizon Genmab AS is expected to generate 0.8 times more return on investment than BioPorto. However, Genmab AS is 1.25 times less risky than BioPorto. It trades about -0.2 of its potential returns per unit of risk. BioPorto is currently generating about -0.49 per unit of risk. If you would invest 158,200 in Genmab AS on August 28, 2024 and sell it today you would lose (12,450) from holding Genmab AS or give up 7.87% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Genmab AS vs. BioPorto
Performance |
| Timeline |
| Genmab AS |
| BioPorto |
Genmab AS and BioPorto Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Genmab AS and BioPorto
The main advantage of trading using opposite Genmab AS and BioPorto positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Genmab AS position performs unexpectedly, BioPorto 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 BioPorto will offset losses from the drop in BioPorto's long position.| Genmab AS vs. Ambu AS | Genmab AS vs. DSV Panalpina AS | Genmab AS vs. Bavarian Nordic | Genmab AS vs. GN Store Nord |
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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