Correlation Between Merck and Valneva SE
Can any of the company-specific risk be diversified away by investing in both Merck and Valneva SE 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 Merck and Valneva SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Merck Company and Valneva SE, you can compare the effects of market volatilities on Merck and Valneva SE 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 Merck with a short position of Valneva SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Merck and Valneva SE.
Diversification Opportunities for Merck and Valneva SE
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Merck and Valneva is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Merck Company and Valneva SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valneva SE and Merck 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 Merck Company are associated (or correlated) with Valneva SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valneva SE has no effect on the direction of Merck i.e., Merck and Valneva SE go up and down completely randomly.
Pair Corralation between Merck and Valneva SE
Assuming the 90 days trading horizon Merck Company is expected to generate 0.46 times more return on investment than Valneva SE. However, Merck Company is 2.2 times less risky than Valneva SE. It trades about -0.09 of its potential returns per unit of risk. Valneva SE is currently generating about -0.19 per unit of risk. If you would invest 11,657 in Merck Company on September 1, 2024 and sell it today you would lose (1,987) from holding Merck Company or give up 17.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Merck Company vs. Valneva SE
Performance |
| Timeline |
| Merck Company |
| Valneva SE |
Merck and Valneva SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Merck and Valneva SE
The main advantage of trading using opposite Merck and Valneva SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merck position performs unexpectedly, Valneva SE 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 Valneva SE will offset losses from the drop in Valneva SE's long position.| Merck vs. RATH Aktiengesellschaft | Merck vs. AT S Austria | Merck vs. BAWAG Group AG | Merck vs. Semperit Aktiengesellschaft Holding |
| Valneva SE vs. Merck Company | Valneva SE vs. Unilever PLC | Valneva SE vs. Anheuser Busch InBev SANV | Valneva SE vs. The Este Lauder |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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