Correlation Between Roche Holding and Santen Pharmaceutical
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Santen Pharmaceutical 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 Santen Pharmaceutical 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 Santen Pharmaceutical Co, you can compare the effects of market volatilities on Roche Holding and Santen Pharmaceutical 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 Santen Pharmaceutical. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Santen Pharmaceutical.
Diversification Opportunities for Roche Holding and Santen Pharmaceutical
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Roche and Santen is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Santen Pharmaceutical Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Santen Pharmaceutical 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 Santen Pharmaceutical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Santen Pharmaceutical has no effect on the direction of Roche Holding i.e., Roche Holding and Santen Pharmaceutical go up and down completely randomly.
Pair Corralation between Roche Holding and Santen Pharmaceutical
Assuming the 90 days horizon Roche Holding AG is expected to under-perform the Santen Pharmaceutical. But the otc stock apears to be less risky and, when comparing its historical volatility, Roche Holding AG is 3.21 times less risky than Santen Pharmaceutical. The otc stock trades about -0.36 of its potential returns per unit of risk. The Santen Pharmaceutical Co is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 1,159 in Santen Pharmaceutical Co on August 31, 2024 and sell it today you would lose (59.00) from holding Santen Pharmaceutical Co or give up 5.09% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding AG vs. Santen Pharmaceutical Co
Performance |
| Timeline |
| Roche Holding AG |
| Santen Pharmaceutical |
Roche Holding and Santen Pharmaceutical Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Santen Pharmaceutical
The main advantage of trading using opposite Roche Holding and Santen Pharmaceutical positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Santen Pharmaceutical 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 Santen Pharmaceutical will offset losses from the drop in Santen Pharmaceutical's long position.| Roche Holding vs. AstraZeneca PLC | Roche Holding vs. Roche Holding AG | Roche Holding vs. Roche Holding Ltd | Roche Holding vs. Grifols SA ADR |
| Santen Pharmaceutical vs. Sanofi ADR | Santen Pharmaceutical vs. Bristol Myers Squibb | Santen Pharmaceutical vs. AstraZeneca PLC ADR | Santen Pharmaceutical 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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