Correlation Between Valneva SE and Lyra Therapeutics
Can any of the company-specific risk be diversified away by investing in both Valneva SE and Lyra Therapeutics 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 Valneva SE and Lyra Therapeutics into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Valneva SE ADR and Lyra Therapeutics, you can compare the effects of market volatilities on Valneva SE and Lyra Therapeutics 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 Valneva SE with a short position of Lyra Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and Lyra Therapeutics.
Diversification Opportunities for Valneva SE and Lyra Therapeutics
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Valneva and Lyra is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and Lyra Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyra Therapeutics and Valneva SE 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 Valneva SE ADR are associated (or correlated) with Lyra Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyra Therapeutics has no effect on the direction of Valneva SE i.e., Valneva SE and Lyra Therapeutics go up and down completely randomly.
Pair Corralation between Valneva SE and Lyra Therapeutics
Given the investment horizon of 90 days Valneva SE is expected to generate 10.22 times less return on investment than Lyra Therapeutics. But when comparing it to its historical volatility, Valneva SE ADR is 1.77 times less risky than Lyra Therapeutics. It trades about 0.02 of its potential returns per unit of risk. Lyra Therapeutics is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 17.00 in Lyra Therapeutics on October 20, 2024 and sell it today you would earn a total of 2.00 from holding Lyra Therapeutics or generate 11.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Valneva SE ADR vs. Lyra Therapeutics
Performance |
| Timeline |
| Valneva SE ADR |
| Lyra Therapeutics |
Valneva SE and Lyra Therapeutics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valneva SE and Lyra Therapeutics
The main advantage of trading using opposite Valneva SE and Lyra Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE position performs unexpectedly, Lyra Therapeutics 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 Lyra Therapeutics will offset losses from the drop in Lyra Therapeutics' long position.| Valneva SE vs. NuCana PLC | Valneva SE vs. Sage Therapeutic | Valneva SE vs. Sellas Life Sciences | Valneva SE vs. Third Harmonic Bio |
| Lyra Therapeutics vs. CytomX Therapeutics | Lyra Therapeutics vs. Assembly Biosciences | Lyra Therapeutics vs. Achilles Therapeutics PLC | Lyra Therapeutics vs. Instil 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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