Correlation Between Sarepta Therapeutics and Intercept Pharmaceuticals
Can any of the company-specific risk be diversified away by investing in both Sarepta Therapeutics and Intercept Pharmaceuticals 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 Sarepta Therapeutics and Intercept Pharmaceuticals into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sarepta Therapeutics and Intercept Pharmaceuticals, you can compare the effects of market volatilities on Sarepta Therapeutics and Intercept Pharmaceuticals 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 Sarepta Therapeutics with a short position of Intercept Pharmaceuticals. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sarepta Therapeutics and Intercept Pharmaceuticals.
Diversification Opportunities for Sarepta Therapeutics and Intercept Pharmaceuticals
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sarepta and Intercept is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Sarepta Therapeutics and Intercept Pharmaceuticals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intercept Pharmaceuticals and Sarepta Therapeutics 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 Sarepta Therapeutics are associated (or correlated) with Intercept Pharmaceuticals. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intercept Pharmaceuticals has no effect on the direction of Sarepta Therapeutics i.e., Sarepta Therapeutics and Intercept Pharmaceuticals go up and down completely randomly.
Pair Corralation between Sarepta Therapeutics and Intercept Pharmaceuticals
Given the investment horizon of 90 days Sarepta Therapeutics is expected to generate 0.73 times more return on investment than Intercept Pharmaceuticals. However, Sarepta Therapeutics is 1.36 times less risky than Intercept Pharmaceuticals. It trades about 0.02 of its potential returns per unit of risk. Intercept Pharmaceuticals is currently generating about -0.01 per unit of risk. If you would invest 11,976 in Sarepta Therapeutics on August 28, 2024 and sell it today you would lose (511.00) from holding Sarepta Therapeutics or give up 4.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 31.72% |
| Values | Daily Returns |
Sarepta Therapeutics vs. Intercept Pharmaceuticals
Performance |
| Timeline |
| Sarepta Therapeutics |
| Intercept Pharmaceuticals |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Sarepta Therapeutics and Intercept Pharmaceuticals Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sarepta Therapeutics and Intercept Pharmaceuticals
The main advantage of trading using opposite Sarepta Therapeutics and Intercept Pharmaceuticals positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sarepta Therapeutics position performs unexpectedly, Intercept Pharmaceuticals 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 Intercept Pharmaceuticals will offset losses from the drop in Intercept Pharmaceuticals' long position.| Sarepta Therapeutics vs. Krystal Biotech | Sarepta Therapeutics vs. PTC Therapeutics | Sarepta Therapeutics vs. Iovance Biotherapeutics | Sarepta Therapeutics vs. Madrigal Pharmaceuticals |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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