Correlation Between Roche Holding and Amgen
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Amgen 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 Amgen 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 Amgen Inc, you can compare the effects of market volatilities on Roche Holding and Amgen 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 Amgen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Amgen.
Diversification Opportunities for Roche Holding and Amgen
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Roche and Amgen is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen 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 AG are associated (or correlated) with Amgen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amgen Inc has no effect on the direction of Roche Holding i.e., Roche Holding and Amgen go up and down completely randomly.
Pair Corralation between Roche Holding and Amgen
Assuming the 90 days trading horizon Roche Holding is expected to generate 4.44 times less return on investment than Amgen. In addition to that, Roche Holding is 1.12 times more volatile than Amgen Inc. It trades about 0.0 of its total potential returns per unit of risk. Amgen Inc is currently generating about 0.02 per unit of volatility. If you would invest 514,974 in Amgen Inc on September 3, 2024 and sell it today you would earn a total of 62,926 from holding Amgen Inc or generate 12.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding AG vs. Amgen Inc
Performance |
| Timeline |
| Roche Holding AG |
| Amgen Inc |
Roche Holding and Amgen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Amgen
The main advantage of trading using opposite Roche Holding and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Amgen 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 Amgen will offset losses from the drop in Amgen's long position.| Roche Holding vs. DXC Technology | Roche Holding vs. Southern Copper | Roche Holding vs. Delta Air Lines | Roche Holding vs. Monster Beverage Corp |
| Amgen vs. CVS Health | Amgen vs. Delta Air Lines | Amgen vs. Verizon Communications | Amgen vs. Grupo Sports World |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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