Correlation Between Roche Holding and Grifols SA
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Grifols SA 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 Roche Holding and Grifols SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Roche Holding AG and Grifols SA ADR, you can compare the effects of market volatilities on Roche Holding and Grifols SA 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 Roche Holding with a short position of Grifols SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Grifols SA.
Diversification Opportunities for Roche Holding and Grifols SA
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Roche and Grifols is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Grifols SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grifols SA ADR and Roche Holding 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 Roche Holding AG are associated (or correlated) with Grifols SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grifols SA ADR has no effect on the direction of Roche Holding i.e., Roche Holding and Grifols SA go up and down completely randomly.
Pair Corralation between Roche Holding and Grifols SA
Assuming the 90 days horizon Roche Holding AG is expected to under-perform the Grifols SA. But the otc stock apears to be less risky and, when comparing its historical volatility, Roche Holding AG is 1.01 times less risky than Grifols SA. The otc stock trades about -0.09 of its potential returns per unit of risk. The Grifols SA ADR is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 938.00 in Grifols SA ADR on August 31, 2024 and sell it today you would lose (131.00) from holding Grifols SA ADR or give up 13.97% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding AG vs. Grifols SA ADR
Performance |
| Timeline |
| Roche Holding AG |
| Grifols SA ADR |
Roche Holding and Grifols SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Grifols SA
The main advantage of trading using opposite Roche Holding and Grifols SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Grifols SA 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 Grifols SA will offset losses from the drop in Grifols SA's long position.| Roche Holding vs. Novartis AG | Roche Holding vs. AstraZeneca PLC | Roche Holding vs. Roche Holding Ltd | Roche Holding vs. Sanofi ADR |
| Grifols SA vs. Novartis AG ADR | Grifols SA vs. AstraZeneca PLC ADR | Grifols SA vs. GlaxoSmithKline PLC ADR | Grifols SA vs. Roche Holding Ltd |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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