Correlation Between Johnson Johnson and Sarepta Therapeutics
Can any of the company-specific risk be diversified away by investing in both Johnson Johnson and Sarepta Therapeutics 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 Johnson Johnson and Sarepta Therapeutics into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Johnson Johnson and Sarepta Therapeutics, you can compare the effects of market volatilities on Johnson Johnson and Sarepta Therapeutics 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 Johnson Johnson with a short position of Sarepta Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Johnson Johnson and Sarepta Therapeutics.
Diversification Opportunities for Johnson Johnson and Sarepta Therapeutics
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Johnson and Sarepta is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Johnson Johnson and Sarepta Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sarepta Therapeutics and Johnson Johnson 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 Johnson Johnson are associated (or correlated) with Sarepta Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sarepta Therapeutics has no effect on the direction of Johnson Johnson i.e., Johnson Johnson and Sarepta Therapeutics go up and down completely randomly.
Pair Corralation between Johnson Johnson and Sarepta Therapeutics
Considering the 90-day investment horizon Johnson Johnson is expected to generate 30.35 times less return on investment than Sarepta Therapeutics. But when comparing it to its historical volatility, Johnson Johnson is 3.32 times less risky than Sarepta Therapeutics. It trades about 0.01 of its potential returns per unit of risk. Sarepta Therapeutics is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 8,444 in Sarepta Therapeutics on August 27, 2024 and sell it today you would earn a total of 2,979 from holding Sarepta Therapeutics or generate 35.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Johnson Johnson vs. Sarepta Therapeutics
Performance |
| Timeline |
| Johnson Johnson |
| Sarepta Therapeutics |
Johnson Johnson and Sarepta Therapeutics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Johnson Johnson and Sarepta Therapeutics
The main advantage of trading using opposite Johnson Johnson and Sarepta Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Johnson Johnson position performs unexpectedly, Sarepta Therapeutics 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 Sarepta Therapeutics will offset losses from the drop in Sarepta Therapeutics' long position.| Johnson Johnson vs. Capricor Therapeutics | Johnson Johnson vs. Soleno Therapeutics | Johnson Johnson vs. Bio Path Holdings | Johnson Johnson vs. Moleculin Biotech |
| Sarepta Therapeutics vs. Krystal Biotech | Sarepta Therapeutics vs. PTC Therapeutics | Sarepta Therapeutics vs. Iovance Biotherapeutics | Sarepta Therapeutics vs. Madrigal 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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