Correlation Between Transgene and Mercialys
Can any of the company-specific risk be diversified away by investing in both Transgene and Mercialys 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 Transgene and Mercialys into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transgene SA and Mercialys SA, you can compare the effects of market volatilities on Transgene and Mercialys 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 Transgene with a short position of Mercialys. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transgene and Mercialys.
Diversification Opportunities for Transgene and Mercialys
Poor diversification
The 3 months correlation between Transgene and Mercialys is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Transgene SA and Mercialys SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mercialys SA and Transgene 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 Transgene SA are associated (or correlated) with Mercialys. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mercialys SA has no effect on the direction of Transgene i.e., Transgene and Mercialys go up and down completely randomly.
Pair Corralation between Transgene and Mercialys
Assuming the 90 days trading horizon Transgene SA is expected to under-perform the Mercialys. In addition to that, Transgene is 1.75 times more volatile than Mercialys SA. It trades about -0.15 of its total potential returns per unit of risk. Mercialys SA is currently generating about -0.18 per unit of volatility. If you would invest 1,116 in Mercialys SA on August 28, 2024 and sell it today you would lose (67.00) from holding Mercialys SA or give up 6.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Transgene SA vs. Mercialys SA
Performance |
| Timeline |
| Transgene SA |
| Mercialys SA |
Transgene and Mercialys Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transgene and Mercialys
The main advantage of trading using opposite Transgene and Mercialys positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transgene position performs unexpectedly, Mercialys 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 Mercialys will offset losses from the drop in Mercialys' long position.| Transgene vs. Innate Pharma | Transgene vs. Nanobiotix SA | Transgene vs. Genfit | Transgene vs. AB Science SA |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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