Correlation Between Johnson Johnson and AMGEN
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By analyzing existing cross correlation between Johnson Johnson and AMGEN INC, you can compare the effects of market volatilities on Johnson Johnson and AMGEN 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 AMGEN. Check out your portfolio center. Please also check ongoing floating volatility patterns of Johnson Johnson and AMGEN.
Diversification Opportunities for Johnson Johnson and AMGEN
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Johnson and AMGEN is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Johnson Johnson and AMGEN INC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMGEN INC 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 AMGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMGEN INC has no effect on the direction of Johnson Johnson i.e., Johnson Johnson and AMGEN go up and down completely randomly.
Pair Corralation between Johnson Johnson and AMGEN
Considering the 90-day investment horizon Johnson Johnson is expected to generate 0.8 times more return on investment than AMGEN. However, Johnson Johnson is 1.25 times less risky than AMGEN. It trades about -0.13 of its potential returns per unit of risk. AMGEN INC is currently generating about -0.18 per unit of risk. If you would invest 15,859 in Johnson Johnson on September 1, 2024 and sell it today you would lose (358.00) from holding Johnson Johnson or give up 2.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 61.9% |
| Values | Daily Returns |
Johnson Johnson vs. AMGEN INC
Performance |
| Timeline |
| Johnson Johnson |
| AMGEN INC |
Johnson Johnson and AMGEN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Johnson Johnson and AMGEN
The main advantage of trading using opposite Johnson Johnson and AMGEN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Johnson Johnson position performs unexpectedly, AMGEN 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 AMGEN will offset losses from the drop in AMGEN's long position.| Johnson Johnson vs. Crinetics Pharmaceuticals | Johnson Johnson vs. Enanta Pharmaceuticals | Johnson Johnson vs. Amicus Therapeutics | Johnson Johnson vs. Connect Biopharma 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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