Correlation Between Sanofi ADR and Amgen
Can any of the company-specific risk be diversified away by investing in both Sanofi ADR 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 Sanofi ADR and Amgen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sanofi ADR and Amgen Inc, you can compare the effects of market volatilities on Sanofi ADR 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 Sanofi ADR with a short position of Amgen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sanofi ADR and Amgen.
Diversification Opportunities for Sanofi ADR and Amgen
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Sanofi and Amgen is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Sanofi ADR and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and Sanofi ADR 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 Sanofi ADR 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 Sanofi ADR i.e., Sanofi ADR and Amgen go up and down completely randomly.
Pair Corralation between Sanofi ADR and Amgen
Considering the 90-day investment horizon Sanofi ADR is expected to generate 0.93 times more return on investment than Amgen. However, Sanofi ADR is 1.07 times less risky than Amgen. It trades about 0.01 of its potential returns per unit of risk. Amgen Inc is currently generating about 0.01 per unit of risk. If you would invest 4,794 in Sanofi ADR on August 25, 2024 and sell it today you would earn a total of 34.00 from holding Sanofi ADR or generate 0.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sanofi ADR vs. Amgen Inc
Performance |
| Timeline |
| Sanofi ADR |
| Amgen Inc |
Sanofi ADR and Amgen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sanofi ADR and Amgen
The main advantage of trading using opposite Sanofi ADR and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sanofi ADR 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.| 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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