Correlation Between Novartis and Mayne Pharma
Can any of the company-specific risk be diversified away by investing in both Novartis and Mayne Pharma 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 Novartis and Mayne Pharma into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Novartis AG and Mayne Pharma Group, you can compare the effects of market volatilities on Novartis and Mayne Pharma 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 Novartis with a short position of Mayne Pharma. Check out your portfolio center. Please also check ongoing floating volatility patterns of Novartis and Mayne Pharma.
Diversification Opportunities for Novartis and Mayne Pharma
-0.65 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Novartis and Mayne is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Novartis AG and Mayne Pharma Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mayne Pharma Group and Novartis 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 Novartis AG are associated (or correlated) with Mayne Pharma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mayne Pharma Group has no effect on the direction of Novartis i.e., Novartis and Mayne Pharma go up and down completely randomly.
Pair Corralation between Novartis and Mayne Pharma
Assuming the 90 days horizon Novartis AG is expected to under-perform the Mayne Pharma. But the pink sheet apears to be less risky and, when comparing its historical volatility, Novartis AG is 1.04 times less risky than Mayne Pharma. The pink sheet trades about -0.09 of its potential returns per unit of risk. The Mayne Pharma Group is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 300.00 in Mayne Pharma Group on September 13, 2024 and sell it today you would earn a total of 10.00 from holding Mayne Pharma Group or generate 3.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Novartis AG vs. Mayne Pharma Group
Performance |
| Timeline |
| Novartis AG |
| Mayne Pharma Group |
Novartis and Mayne Pharma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Novartis and Mayne Pharma
The main advantage of trading using opposite Novartis and Mayne Pharma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Novartis position performs unexpectedly, Mayne Pharma 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 Mayne Pharma will offset losses from the drop in Mayne Pharma's long position.| Novartis vs. Roche Holding AG | Novartis vs. AstraZeneca PLC | Novartis vs. Roche Holding Ltd | Novartis vs. Sanofi ADR |
| Mayne Pharma vs. Bristol Myers Squibb | Mayne Pharma vs. AbbVie Inc | Mayne Pharma vs. Merck Company | Mayne Pharma vs. Gilead Sciences |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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