Correlation Between AMGEN and Travelers Companies
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By analyzing existing cross correlation between AMGEN INC 3125 and The Travelers Companies, you can compare the effects of market volatilities on AMGEN and Travelers Companies 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 AMGEN with a short position of Travelers Companies. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMGEN and Travelers Companies.
Diversification Opportunities for AMGEN and Travelers Companies
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between AMGEN and Travelers is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding AMGEN INC 3125 and The Travelers Companies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on The Travelers Companies and AMGEN 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 AMGEN INC 3125 are associated (or correlated) with Travelers Companies. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Travelers Companies has no effect on the direction of AMGEN i.e., AMGEN and Travelers Companies go up and down completely randomly.
Pair Corralation between AMGEN and Travelers Companies
Assuming the 90 days trading horizon AMGEN is expected to generate 29.93 times less return on investment than Travelers Companies. But when comparing it to its historical volatility, AMGEN INC 3125 is 5.61 times less risky than Travelers Companies. It trades about 0.01 of its potential returns per unit of risk. The Travelers Companies is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 17,995 in The Travelers Companies on September 4, 2024 and sell it today you would earn a total of 8,356 from holding The Travelers Companies or generate 46.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.79% |
| Values | Daily Returns |
AMGEN INC 3125 vs. The Travelers Companies
Performance |
| Timeline |
| AMGEN INC 3125 |
| The Travelers Companies |
AMGEN and Travelers Companies Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AMGEN and Travelers Companies
The main advantage of trading using opposite AMGEN and Travelers Companies positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AMGEN position performs unexpectedly, Travelers Companies 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 Travelers Companies will offset losses from the drop in Travelers Companies' long position.The idea behind AMGEN INC 3125 and The Travelers Companies pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Travelers Companies vs. Progressive Corp | Travelers Companies vs. Cincinnati Financial | Travelers Companies vs. W R Berkley | Travelers Companies vs. The Allstate |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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