Correlation Between Moderna and MacroGenics

Can any of the company-specific risk be diversified away by investing in both Moderna and MacroGenics 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 Moderna and MacroGenics into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Moderna and MacroGenics, you can compare the effects of market volatilities on Moderna and MacroGenics 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 Moderna with a short position of MacroGenics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moderna and MacroGenics.

Diversification Opportunities for Moderna and MacroGenics

-0.39

Correlation Coefficient

Moderna  MacroGenics

Very good diversification

The 3 months correlation between Moderna and MacroGenics is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Moderna and MacroGenics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MacroGenics and Moderna 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 Moderna are associated (or correlated) with MacroGenics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MacroGenics has no effect on the direction of Moderna i.e., Moderna and MacroGenics go up and down completely randomly.

Pair Corralation between Moderna and MacroGenics

Assuming the 90 days horizon Moderna is expected to under-perform the MacroGenics. But the stock apears to be less risky and, when comparing its historical volatility, Moderna is 1.37 times less risky than MacroGenics. The stock trades about -0.22 of its potential returns per unit of risk. The MacroGenics is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  442.00  in MacroGenics on September 15, 2024 and sell it today you would lose (125.00) from holding MacroGenics or give up 28.28% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Moderna  vs.  MacroGenics

Moderna

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Moderna has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

MacroGenics

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MacroGenics has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, MacroGenics is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Moderna and MacroGenics

The main advantage of trading using opposite Moderna and MacroGenics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moderna position performs unexpectedly, MacroGenics 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 MacroGenics will offset losses from the drop in MacroGenics' long position.

The idea behind Moderna and MacroGenics pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.