Correlation Between Roche Holding and Biogen
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Biogen 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 Biogen 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 Biogen Inc, you can compare the effects of market volatilities on Roche Holding and Biogen 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 Biogen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Biogen.
Diversification Opportunities for Roche Holding and Biogen
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Roche and Biogen is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding Ltd and Biogen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Biogen Inc 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 Biogen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Biogen Inc has no effect on the direction of Roche Holding i.e., Roche Holding and Biogen go up and down completely randomly.
Pair Corralation between Roche Holding and Biogen
Assuming the 90 days horizon Roche Holding Ltd is expected to generate 0.87 times more return on investment than Biogen. However, Roche Holding Ltd is 1.15 times less risky than Biogen. It trades about 0.04 of its potential returns per unit of risk. Biogen Inc is currently generating about -0.12 per unit of risk. If you would invest 3,482 in Roche Holding Ltd on November 9, 2024 and sell it today you would earn a total of 476.00 from holding Roche Holding Ltd or generate 13.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding Ltd vs. Biogen Inc
Performance |
| Timeline |
| Roche Holding |
| Biogen Inc |
Roche Holding and Biogen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Biogen
The main advantage of trading using opposite Roche Holding and Biogen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Biogen 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 Biogen will offset losses from the drop in Biogen'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 |
| Biogen vs. Bristol Myers Squibb | Biogen vs. AbbVie Inc | Biogen vs. Merck Company | Biogen 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |