Can any of the company-specific risk be diversified away by investing in both Amgen and ASTELLAS PHARMA 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 Amgen and ASTELLAS PHARMA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amgen Inc and ASTELLAS PHARMA UNSPADR, you can compare the effects of market volatilities on Amgen and ASTELLAS PHARMA 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 Amgen with a short position of ASTELLAS PHARMA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amgen and ASTELLAS PHARMA.
Diversification Opportunities for Amgen and ASTELLAS PHARMA
The 3 months correlation between Amgen and ASTELLAS is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Amgen Inc and ASTELLAS PHARMA UNSPADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASTELLAS PHARMA UNSPADR and Amgen 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 Amgen Inc are associated (or correlated) with ASTELLAS PHARMA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASTELLAS PHARMA UNSPADR has no effect on the direction of Amgen i.e., Amgen and ASTELLAS PHARMA go up and down completely randomly.
Pair Corralation between Amgen and ASTELLAS PHARMA
Assuming the 90 days horizon Amgen Inc is expected to generate 1.09 times more return on investment than ASTELLAS PHARMA. However, Amgen is 1.09 times more volatile than ASTELLAS PHARMA UNSPADR. It trades about 0.09 of its potential returns per unit of risk. ASTELLAS PHARMA UNSPADR is currently generating about -0.12 per unit of risk. If you would invest 27,473 in Amgen Inc on March 6, 2024 and sell it today you would earn a total of 747.00 from holding Amgen Inc or generate 2.72% return on investment over 90 days.
Compared to the overall equity markets, risk-adjusted returns on investments in Amgen Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Amgen may actually be approaching a critical reversion point that can send shares even higher in July 2024.
Over the last 90 days ASTELLAS PHARMA UNSPADR has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's technical indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.