Correlation Between Santen Pharmaceutical and AstraZeneca PLC
Can any of the company-specific risk be diversified away by investing in both Santen Pharmaceutical and AstraZeneca PLC 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 Santen Pharmaceutical and AstraZeneca PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Santen Pharmaceutical Co and AstraZeneca PLC ADR, you can compare the effects of market volatilities on Santen Pharmaceutical and AstraZeneca PLC 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 Santen Pharmaceutical with a short position of AstraZeneca PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Santen Pharmaceutical and AstraZeneca PLC.
Diversification Opportunities for Santen Pharmaceutical and AstraZeneca PLC
0.18 | Correlation Coefficient |
Average diversification
The 3 months correlation between Santen and AstraZeneca is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding Santen Pharmaceutical Co and AstraZeneca PLC ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AstraZeneca PLC ADR and Santen Pharmaceutical 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 Santen Pharmaceutical Co are associated (or correlated) with AstraZeneca PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AstraZeneca PLC ADR has no effect on the direction of Santen Pharmaceutical i.e., Santen Pharmaceutical and AstraZeneca PLC go up and down completely randomly.
Pair Corralation between Santen Pharmaceutical and AstraZeneca PLC
Assuming the 90 days horizon Santen Pharmaceutical Co is expected to under-perform the AstraZeneca PLC. In addition to that, Santen Pharmaceutical is 1.07 times more volatile than AstraZeneca PLC ADR. It trades about -0.31 of its total potential returns per unit of risk. AstraZeneca PLC ADR is currently generating about -0.28 per unit of volatility. If you would invest 7,601 in AstraZeneca PLC ADR on August 27, 2024 and sell it today you would lose (961.00) from holding AstraZeneca PLC ADR or give up 12.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Santen Pharmaceutical Co vs. AstraZeneca PLC ADR
Performance |
| Timeline |
| Santen Pharmaceutical |
| AstraZeneca PLC ADR |
Santen Pharmaceutical and AstraZeneca PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Santen Pharmaceutical and AstraZeneca PLC
The main advantage of trading using opposite Santen Pharmaceutical and AstraZeneca PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Santen Pharmaceutical position performs unexpectedly, AstraZeneca PLC 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 AstraZeneca PLC will offset losses from the drop in AstraZeneca PLC's long position.| Santen Pharmaceutical vs. Ono Pharmaceutical Co | Santen Pharmaceutical vs. GSK plc | Santen Pharmaceutical vs. Grifols SA ADR | Santen Pharmaceutical vs. Pfizer Inc |
| AstraZeneca PLC vs. Novartis AG ADR | AstraZeneca PLC vs. GlaxoSmithKline PLC ADR | AstraZeneca PLC vs. Roche Holding Ltd | AstraZeneca PLC vs. Bristol Myers Squibb |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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