Correlation Between Valneva SE and Spero Therapeutics
Can any of the company-specific risk be diversified away by investing in both Valneva SE and Spero 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 Spero 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 Spero Therapeutics, you can compare the effects of market volatilities on Valneva SE and Spero 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 Spero Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and Spero Therapeutics.
Diversification Opportunities for Valneva SE and Spero Therapeutics
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Valneva and Spero is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and Spero Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Spero 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 Spero Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Spero Therapeutics has no effect on the direction of Valneva SE i.e., Valneva SE and Spero Therapeutics go up and down completely randomly.
Pair Corralation between Valneva SE and Spero Therapeutics
Given the investment horizon of 90 days Valneva SE ADR is expected to under-perform the Spero Therapeutics. But the stock apears to be less risky and, when comparing its historical volatility, Valneva SE ADR is 1.2 times less risky than Spero Therapeutics. The stock trades about -0.58 of its potential returns per unit of risk. The Spero Therapeutics is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest 129.00 in Spero Therapeutics on August 28, 2024 and sell it today you would lose (14.00) from holding Spero Therapeutics or give up 10.85% 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. Spero Therapeutics
Performance |
| Timeline |
| Valneva SE ADR |
| Spero Therapeutics |
Valneva SE and Spero Therapeutics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valneva SE and Spero Therapeutics
The main advantage of trading using opposite Valneva SE and Spero Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE position performs unexpectedly, Spero 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 Spero Therapeutics will offset losses from the drop in Spero Therapeutics' long position.| Valneva SE vs. Eliem Therapeutics | Valneva SE vs. HCW Biologics | Valneva SE vs. Scpharmaceuticals | Valneva SE vs. Milestone Pharmaceuticals |
| Spero Therapeutics vs. Assembly Biosciences | Spero Therapeutics vs. Achilles Therapeutics PLC | Spero Therapeutics vs. Instil Bio | Spero Therapeutics vs. CytomX Therapeutics |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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