Correlation Between Jazz Pharmaceuticals and Incyte
Can any of the company-specific risk be diversified away by investing in both Jazz Pharmaceuticals and Incyte 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 Jazz Pharmaceuticals and Incyte into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jazz Pharmaceuticals PLC and Incyte, you can compare the effects of market volatilities on Jazz Pharmaceuticals and Incyte 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 Jazz Pharmaceuticals with a short position of Incyte. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jazz Pharmaceuticals and Incyte.
Diversification Opportunities for Jazz Pharmaceuticals and Incyte
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Jazz and Incyte is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Jazz Pharmaceuticals PLC and Incyte in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Incyte and Jazz Pharmaceuticals 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 Jazz Pharmaceuticals PLC are associated (or correlated) with Incyte. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Incyte has no effect on the direction of Jazz Pharmaceuticals i.e., Jazz Pharmaceuticals and Incyte go up and down completely randomly.
Pair Corralation between Jazz Pharmaceuticals and Incyte
Given the investment horizon of 90 days Jazz Pharmaceuticals is expected to generate 1.19 times less return on investment than Incyte. But when comparing it to its historical volatility, Jazz Pharmaceuticals PLC is 1.11 times less risky than Incyte. It trades about 0.08 of its potential returns per unit of risk. Incyte is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 5,725 in Incyte on August 24, 2024 and sell it today you would earn a total of 1,314 from holding Incyte or generate 22.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jazz Pharmaceuticals PLC vs. Incyte
Performance |
| Timeline |
| Jazz Pharmaceuticals PLC |
| Incyte |
Jazz Pharmaceuticals and Incyte Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jazz Pharmaceuticals and Incyte
The main advantage of trading using opposite Jazz Pharmaceuticals and Incyte positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jazz Pharmaceuticals position performs unexpectedly, Incyte 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 Incyte will offset losses from the drop in Incyte's long position.| Jazz Pharmaceuticals vs. Incyte | Jazz Pharmaceuticals vs. Alnylam Pharmaceuticals | Jazz Pharmaceuticals vs. United Therapeutics | Jazz Pharmaceuticals vs. Ultragenyx |
| Incyte vs. Alnylam Pharmaceuticals | Incyte vs. United Therapeutics | Incyte vs. Ultragenyx | Incyte vs. Apellis Pharmaceuticals |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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