Correlation Between ASTELLAS PHARMA and Amgen
Can any of the company-specific risk be diversified away by investing in both ASTELLAS PHARMA and Amgen 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 Amgen 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 Amgen Inc, you can compare the effects of market volatilities on ASTELLAS PHARMA and Amgen 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 Amgen. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASTELLAS PHARMA and Amgen.
Diversification Opportunities for ASTELLAS PHARMA and Amgen
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ASTELLAS and Amgen is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding ASTELLAS PHARMA UNSPADR and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc 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 Amgen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amgen Inc has no effect on the direction of ASTELLAS PHARMA i.e., ASTELLAS PHARMA and Amgen go up and down completely randomly.
Pair Corralation between ASTELLAS PHARMA and Amgen
Assuming the 90 days trading horizon ASTELLAS PHARMA UNSPADR is expected to generate 0.58 times more return on investment than Amgen. However, ASTELLAS PHARMA UNSPADR is 1.71 times less risky than Amgen. It trades about -0.21 of its potential returns per unit of risk. Amgen Inc is currently generating about -0.17 per unit of risk. If you would invest 1,020 in ASTELLAS PHARMA UNSPADR on August 29, 2024 and sell it today you would lose (85.00) from holding ASTELLAS PHARMA UNSPADR or give up 8.33% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASTELLAS PHARMA UNSPADR vs. Amgen Inc
Performance |
| Timeline |
| ASTELLAS PHARMA UNSPADR |
| Amgen Inc |
ASTELLAS PHARMA and Amgen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASTELLAS PHARMA and Amgen
The main advantage of trading using opposite ASTELLAS PHARMA and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASTELLAS PHARMA position performs unexpectedly, Amgen 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 Amgen will offset losses from the drop in Amgen's long position.| ASTELLAS PHARMA vs. Merck Co | ASTELLAS PHARMA vs. Roche Holding Ltd | ASTELLAS PHARMA vs. Amgen Inc | ASTELLAS PHARMA vs. Bayer AG NA |
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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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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