Correlation Between Roche Holding and Astellas Pharma
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Astellas 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 Roche Holding and Astellas Pharma into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Roche Holding Ltd and Astellas Pharma, you can compare the effects of market volatilities on Roche Holding and Astellas 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 Roche Holding with a short position of Astellas Pharma. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Astellas Pharma.
Diversification Opportunities for Roche Holding and Astellas Pharma
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Roche and Astellas is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding Ltd and Astellas Pharma in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astellas Pharma 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 Ltd are associated (or correlated) with Astellas Pharma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astellas Pharma has no effect on the direction of Roche Holding i.e., Roche Holding and Astellas Pharma go up and down completely randomly.
Pair Corralation between Roche Holding and Astellas Pharma
Assuming the 90 days horizon Roche Holding Ltd is expected to generate 0.84 times more return on investment than Astellas Pharma. However, Roche Holding Ltd is 1.19 times less risky than Astellas Pharma. It trades about -0.17 of its potential returns per unit of risk. Astellas Pharma is currently generating about -0.2 per unit of risk. If you would invest 4,171 in Roche Holding Ltd on August 23, 2024 and sell it today you would lose (622.00) from holding Roche Holding Ltd or give up 14.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding Ltd vs. Astellas Pharma
Performance |
| Timeline |
| Roche Holding |
| Astellas Pharma |
Roche Holding and Astellas Pharma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Astellas Pharma
The main advantage of trading using opposite Roche Holding and Astellas Pharma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Astellas 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 Astellas Pharma will offset losses from the drop in Astellas Pharma's long position.| Roche Holding vs. Sanofi ADR | Roche Holding vs. AstraZeneca PLC ADR | Roche Holding vs. GlaxoSmithKline PLC ADR | Roche Holding vs. Merck Company |
| Astellas Pharma vs. Bristol Myers Squibb | Astellas Pharma vs. Bayer AG | Astellas Pharma vs. Daiichi Sankyo | Astellas Pharma vs. AstraZeneca 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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