Correlation Between Roche Holding and Scilex Holding
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Scilex Holding 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 Scilex Holding 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 Scilex Holding, you can compare the effects of market volatilities on Roche Holding and Scilex Holding 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 Scilex Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Scilex Holding.
Diversification Opportunities for Roche Holding and Scilex Holding
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Roche and Scilex is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Scilex Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Scilex Holding 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 Scilex Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Scilex Holding has no effect on the direction of Roche Holding i.e., Roche Holding and Scilex Holding go up and down completely randomly.
Pair Corralation between Roche Holding and Scilex Holding
Assuming the 90 days horizon Roche Holding AG is expected to generate 0.22 times more return on investment than Scilex Holding. However, Roche Holding AG is 4.44 times less risky than Scilex Holding. It trades about 0.03 of its potential returns per unit of risk. Scilex Holding is currently generating about -0.02 per unit of risk. If you would invest 25,343 in Roche Holding AG on August 25, 2024 and sell it today you would earn a total of 3,171 from holding Roche Holding AG or generate 12.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.63% |
| Values | Daily Returns |
Roche Holding AG vs. Scilex Holding
Performance |
| Timeline |
| Roche Holding AG |
| Scilex Holding |
Roche Holding and Scilex Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Scilex Holding
The main advantage of trading using opposite Roche Holding and Scilex Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Scilex Holding 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 Scilex Holding will offset losses from the drop in Scilex Holding's long position.| Roche Holding vs. Sanofi ADR | Roche Holding vs. Bristol Myers Squibb | Roche Holding vs. AstraZeneca PLC ADR | Roche Holding vs. Gilead Sciences |
| Scilex Holding vs. AstraZeneca PLC ADR | Scilex Holding vs. Gilead Sciences | Scilex Holding vs. Bristol Myers Squibb | Scilex Holding vs. Amgen Inc |
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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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