Correlation Between Genmab AS and SIGA Technologies
Can any of the company-specific risk be diversified away by investing in both Genmab AS and SIGA Technologies 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 SIGA Technologies into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Genmab AS and SIGA Technologies, you can compare the effects of market volatilities on Genmab AS and SIGA Technologies 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 SIGA Technologies. Check out your portfolio center. Please also check ongoing floating volatility patterns of Genmab AS and SIGA Technologies.
Diversification Opportunities for Genmab AS and SIGA Technologies
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Genmab and SIGA is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Genmab AS and SIGA Technologies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SIGA Technologies 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 SIGA Technologies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SIGA Technologies has no effect on the direction of Genmab AS i.e., Genmab AS and SIGA Technologies go up and down completely randomly.
Pair Corralation between Genmab AS and SIGA Technologies
Given the investment horizon of 90 days Genmab AS is expected to under-perform the SIGA Technologies. But the stock apears to be less risky and, when comparing its historical volatility, Genmab AS is 2.15 times less risky than SIGA Technologies. The stock trades about -0.08 of its potential returns per unit of risk. The SIGA Technologies is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 718.00 in SIGA Technologies on August 24, 2024 and sell it today you would lose (70.00) from holding SIGA Technologies or give up 9.75% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Genmab AS vs. SIGA Technologies
Performance |
| Timeline |
| Genmab AS |
| SIGA Technologies |
Genmab AS and SIGA Technologies Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Genmab AS and SIGA Technologies
The main advantage of trading using opposite Genmab AS and SIGA Technologies positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Genmab AS position performs unexpectedly, SIGA Technologies 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 SIGA Technologies will offset losses from the drop in SIGA Technologies' long position.| Genmab AS vs. Ascendis Pharma AS | Genmab AS vs. Apellis Pharmaceuticals | Genmab AS vs. BeiGene | Genmab AS vs. Akero Therapeutics |
| SIGA Technologies vs. Elanco Animal Health | SIGA Technologies vs. Esperion Therapeutics | SIGA Technologies vs. Catalent | SIGA Technologies vs. China Pharma Holdings |
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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