Correlation Between Valneva SE and Sarepta Therapeutics
Can any of the company-specific risk be diversified away by investing in both Valneva SE and Sarepta 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 Sarepta 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 Sarepta Therapeutics, you can compare the effects of market volatilities on Valneva SE and Sarepta 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 Sarepta Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and Sarepta Therapeutics.
Diversification Opportunities for Valneva SE and Sarepta Therapeutics
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Valneva and Sarepta is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and Sarepta Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sarepta 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 Sarepta Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sarepta Therapeutics has no effect on the direction of Valneva SE i.e., Valneva SE and Sarepta Therapeutics go up and down completely randomly.
Pair Corralation between Valneva SE and Sarepta Therapeutics
Given the investment horizon of 90 days Valneva SE ADR is expected to under-perform the Sarepta Therapeutics. But the stock apears to be less risky and, when comparing its historical volatility, Valneva SE ADR is 1.15 times less risky than Sarepta Therapeutics. The stock trades about -0.07 of its potential returns per unit of risk. The Sarepta Therapeutics is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 13,100 in Sarepta Therapeutics on August 27, 2024 and sell it today you would lose (1,677) from holding Sarepta Therapeutics or give up 12.8% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Valneva SE ADR vs. Sarepta Therapeutics
Performance |
| Timeline |
| Valneva SE ADR |
| Sarepta Therapeutics |
Valneva SE and Sarepta Therapeutics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valneva SE and Sarepta Therapeutics
The main advantage of trading using opposite Valneva SE and Sarepta Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE position performs unexpectedly, Sarepta 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 Sarepta Therapeutics will offset losses from the drop in Sarepta Therapeutics' long position.| Valneva SE vs. Eliem Therapeutics | Valneva SE vs. HCW Biologics | Valneva SE vs. Scpharmaceuticals | Valneva SE vs. Milestone Pharmaceuticals |
| Sarepta Therapeutics vs. Krystal Biotech | Sarepta Therapeutics vs. PTC Therapeutics | Sarepta Therapeutics vs. Iovance Biotherapeutics | Sarepta Therapeutics vs. Madrigal Pharmaceuticals |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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