Correlation Between Roche Holding and Sanofi ADR
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Sanofi ADR 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 Sanofi ADR 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 Sanofi ADR, you can compare the effects of market volatilities on Roche Holding and Sanofi ADR 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 Sanofi ADR. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Sanofi ADR.
Diversification Opportunities for Roche Holding and Sanofi ADR
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Roche and Sanofi is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Sanofi ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sanofi 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 Sanofi ADR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sanofi ADR has no effect on the direction of Roche Holding i.e., Roche Holding and Sanofi ADR go up and down completely randomly.
Pair Corralation between Roche Holding and Sanofi ADR
Assuming the 90 days horizon Roche Holding AG is expected to under-perform the Sanofi ADR. But the otc stock apears to be less risky and, when comparing its historical volatility, Roche Holding AG is 1.38 times less risky than Sanofi ADR. The otc stock trades about -0.56 of its potential returns per unit of risk. The Sanofi ADR is currently generating about -0.27 of returns per unit of risk over similar time horizon. If you would invest 5,289 in Sanofi ADR on August 24, 2024 and sell it today you would lose (491.00) from holding Sanofi ADR or give up 9.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Roche Holding AG vs. Sanofi ADR
Performance |
| Timeline |
| Roche Holding AG |
| Sanofi ADR |
Roche Holding and Sanofi ADR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Sanofi ADR
The main advantage of trading using opposite Roche Holding and Sanofi ADR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Sanofi ADR 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 Sanofi ADR will offset losses from the drop in Sanofi ADR'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 |
| Sanofi ADR vs. AstraZeneca PLC ADR | Sanofi ADR vs. Roche Holding Ltd | Sanofi ADR vs. GlaxoSmithKline PLC ADR | Sanofi ADR vs. Merck Company |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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