Correlation Between Eli Lilly and Scholar Rock
Can any of the company-specific risk be diversified away by investing in both Eli Lilly and Scholar Rock 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 Eli Lilly and Scholar Rock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eli Lilly and and Scholar Rock Holding, you can compare the effects of market volatilities on Eli Lilly and Scholar Rock 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 Eli Lilly with a short position of Scholar Rock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eli Lilly and Scholar Rock.
Diversification Opportunities for Eli Lilly and Scholar Rock
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Eli and Scholar is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and Scholar Rock Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Scholar Rock Holding and Eli Lilly 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 Eli Lilly and are associated (or correlated) with Scholar Rock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Scholar Rock Holding has no effect on the direction of Eli Lilly i.e., Eli Lilly and Scholar Rock go up and down completely randomly.
Pair Corralation between Eli Lilly and Scholar Rock
Considering the 90-day investment horizon Eli Lilly is expected to generate 7.69 times less return on investment than Scholar Rock. But when comparing it to its historical volatility, Eli Lilly and is 4.2 times less risky than Scholar Rock. It trades about 0.21 of its potential returns per unit of risk. Scholar Rock Holding is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest 2,638 in Scholar Rock Holding on September 18, 2024 and sell it today you would earn a total of 1,705 from holding Scholar Rock Holding or generate 64.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eli Lilly and vs. Scholar Rock Holding
Performance |
| Timeline |
| Eli Lilly |
| Scholar Rock Holding |
Eli Lilly and Scholar Rock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eli Lilly and Scholar Rock
The main advantage of trading using opposite Eli Lilly and Scholar Rock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eli Lilly position performs unexpectedly, Scholar Rock 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 Scholar Rock will offset losses from the drop in Scholar Rock's long position.| Eli Lilly vs. Emergent Biosolutions | Eli Lilly vs. Neurocrine Biosciences | Eli Lilly vs. Teva Pharma Industries | Eli Lilly vs. Haleon plc |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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