Correlation Between Teva Pharma and Y MAbs
Can any of the company-specific risk be diversified away by investing in both Teva Pharma and Y MAbs 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 Teva Pharma and Y MAbs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Teva Pharma Industries and Y mAbs Therapeutics, you can compare the effects of market volatilities on Teva Pharma and Y MAbs 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 Teva Pharma with a short position of Y MAbs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Teva Pharma and Y MAbs.
Diversification Opportunities for Teva Pharma and Y MAbs
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Teva and YMAB is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Teva Pharma Industries and Y mAbs Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Y mAbs Therapeutics and Teva Pharma 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 Teva Pharma Industries are associated (or correlated) with Y MAbs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Y mAbs Therapeutics has no effect on the direction of Teva Pharma i.e., Teva Pharma and Y MAbs go up and down completely randomly.
Pair Corralation between Teva Pharma and Y MAbs
Given the investment horizon of 90 days Teva Pharma is expected to generate 1.94 times less return on investment than Y MAbs. But when comparing it to its historical volatility, Teva Pharma Industries is 2.35 times less risky than Y MAbs. It trades about 0.07 of its potential returns per unit of risk. Y mAbs Therapeutics is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 488.00 in Y mAbs Therapeutics on September 2, 2024 and sell it today you would earn a total of 704.00 from holding Y mAbs Therapeutics or generate 144.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Teva Pharma Industries vs. Y mAbs Therapeutics
Performance |
| Timeline |
| Teva Pharma Industries |
| Y mAbs Therapeutics |
Teva Pharma and Y MAbs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Teva Pharma and Y MAbs
The main advantage of trading using opposite Teva Pharma and Y MAbs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Teva Pharma position performs unexpectedly, Y MAbs 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 Y MAbs will offset losses from the drop in Y MAbs' long position.| Teva Pharma vs. Haleon plc | Teva Pharma vs. Bausch Health Companies | Teva Pharma vs. Zoetis Inc | Teva Pharma vs. Takeda Pharmaceutical Co |
| Y MAbs vs. Revolution Medicines | Y MAbs vs. Black Diamond Therapeutics | Y MAbs vs. Passage Bio | Y MAbs vs. Bluebird bio |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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