Correlation Between Valneva SE and PepGen
Can any of the company-specific risk be diversified away by investing in both Valneva SE and PepGen 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 PepGen 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 PepGen, you can compare the effects of market volatilities on Valneva SE and PepGen 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 PepGen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and PepGen.
Diversification Opportunities for Valneva SE and PepGen
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Valneva and PepGen is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and PepGen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PepGen 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 PepGen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PepGen has no effect on the direction of Valneva SE i.e., Valneva SE and PepGen go up and down completely randomly.
Pair Corralation between Valneva SE and PepGen
Given the investment horizon of 90 days Valneva SE ADR is expected to under-perform the PepGen. But the stock apears to be less risky and, when comparing its historical volatility, Valneva SE ADR is 1.74 times less risky than PepGen. The stock trades about -0.05 of its potential returns per unit of risk. The PepGen is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 1,498 in PepGen on August 24, 2024 and sell it today you would lose (1,057) from holding PepGen or give up 70.56% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Valneva SE ADR vs. PepGen
Performance |
| Timeline |
| Valneva SE ADR |
| PepGen |
Valneva SE and PepGen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valneva SE and PepGen
The main advantage of trading using opposite Valneva SE and PepGen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE position performs unexpectedly, PepGen 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 PepGen will offset losses from the drop in PepGen's long position.| Valneva SE vs. Lyra Therapeutics | Valneva SE vs. Hookipa Pharma | Valneva SE vs. Cingulate Warrants | Valneva SE vs. SAB Biotherapeutics |
| PepGen vs. Pmv Pharmaceuticals | PepGen vs. Eliem Therapeutics | PepGen vs. MediciNova | PepGen vs. Pharvaris BV |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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