Correlation Between Genmab AS and Demant AS
Can any of the company-specific risk be diversified away by investing in both Genmab AS and Demant AS 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 Demant AS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Genmab AS and Demant AS, you can compare the effects of market volatilities on Genmab AS and Demant AS 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 Demant AS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Genmab AS and Demant AS.
Diversification Opportunities for Genmab AS and Demant AS
Poor diversification
The 3 months correlation between Genmab and Demant is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Genmab AS and Demant AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Demant AS 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 Demant AS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Demant AS has no effect on the direction of Genmab AS i.e., Genmab AS and Demant AS go up and down completely randomly.
Pair Corralation between Genmab AS and Demant AS
Assuming the 90 days trading horizon Genmab AS is expected to under-perform the Demant AS. In addition to that, Genmab AS is 1.22 times more volatile than Demant AS. It trades about -0.03 of its total potential returns per unit of risk. Demant AS is currently generating about 0.15 per unit of volatility. If you would invest 25,660 in Demant AS on September 3, 2024 and sell it today you would earn a total of 1,260 from holding Demant AS or generate 4.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Genmab AS vs. Demant AS
Performance |
| Timeline |
| Genmab AS |
| Demant AS |
Genmab AS and Demant AS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Genmab AS and Demant AS
The main advantage of trading using opposite Genmab AS and Demant AS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Genmab AS position performs unexpectedly, Demant AS 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 Demant AS will offset losses from the drop in Demant AS'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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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