Correlation Between ASTELLAS PHARMA and Merck
Can any of the company-specific risk be diversified away by investing in both ASTELLAS PHARMA and Merck 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 ASTELLAS PHARMA and Merck into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ASTELLAS PHARMA UNSPADR and Merck Co, you can compare the effects of market volatilities on ASTELLAS PHARMA and Merck 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 ASTELLAS PHARMA with a short position of Merck. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASTELLAS PHARMA and Merck.
Diversification Opportunities for ASTELLAS PHARMA and Merck
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ASTELLAS and Merck is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding ASTELLAS PHARMA UNSPADR and Merck Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merck and ASTELLAS PHARMA 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 ASTELLAS PHARMA UNSPADR are associated (or correlated) with Merck. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck has no effect on the direction of ASTELLAS PHARMA i.e., ASTELLAS PHARMA and Merck go up and down completely randomly.
Pair Corralation between ASTELLAS PHARMA and Merck
Assuming the 90 days trading horizon ASTELLAS PHARMA UNSPADR is expected to under-perform the Merck. In addition to that, ASTELLAS PHARMA is 1.46 times more volatile than Merck Co. It trades about -0.01 of its total potential returns per unit of risk. Merck Co is currently generating about 0.02 per unit of volatility. If you would invest 9,329 in Merck Co on September 1, 2024 and sell it today you would earn a total of 371.00 from holding Merck Co or generate 3.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASTELLAS PHARMA UNSPADR vs. Merck Co
Performance |
| Timeline |
| ASTELLAS PHARMA UNSPADR |
| Merck |
ASTELLAS PHARMA and Merck Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASTELLAS PHARMA and Merck
The main advantage of trading using opposite ASTELLAS PHARMA and Merck positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASTELLAS PHARMA position performs unexpectedly, Merck 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 Merck will offset losses from the drop in Merck's long position.| ASTELLAS PHARMA vs. QINGCI GAMES INC | ASTELLAS PHARMA vs. OURGAME INTHOLDL 00005 | ASTELLAS PHARMA vs. Federal Agricultural Mortgage | ASTELLAS PHARMA vs. DAIRY FARM INTL |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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