Two Equities Correlation Analysis
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JNJ
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This model provides you with a quick lookup of cross correlation between two equities. Please specify two instruments to run the correlation.
Diversification Opportunities for Johnson Johnson and NYSE Composite
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Johnson and NYSE is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Johnson Johnson and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite and Johnson Johnson 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 Johnson Johnson are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of Johnson Johnson i.e., Johnson Johnson and NYSE Composite go up and down completely randomly.
Pair Corralation between Johnson Johnson and NYSE Composite
Considering the 90-day investment horizon Johnson Johnson is expected to under-perform the NYSE Composite. In addition to that, Johnson Johnson is 1.94 times more volatile than NYSE Composite. It trades about -0.07 of its total potential returns per unit of risk. NYSE Composite is currently generating about -0.06 per unit of volatility. If you would invest 1,798,249 in NYSE Composite on February 4, 2024 and sell it today you would lose (18,460) from holding NYSE Composite or give up 1.03% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Johnson Johnson vs. NYSE Composite
Performance |
| Timeline |
Johnson Johnson and NYSE Composite Volatility Contrast
Predicted Return Density |
| Returns |
Johnson Johnson
Pair trading matchups for Johnson Johnson
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with Johnson Johnson and NYSE Composite
The main advantage of trading using opposite Johnson Johnson and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Johnson Johnson position performs unexpectedly, NYSE Composite 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 NYSE Composite will offset losses from the drop in NYSE Composite's long position.| Johnson Johnson vs. Incyte | Johnson Johnson vs. Sarepta Therapeutics | Johnson Johnson vs. ACADIA Pharmaceuticals | Johnson Johnson vs. Viking Therapeutics |
| NYSE Composite vs. Gerdau SA ADR | NYSE Composite vs. Transphorm Technology | NYSE Composite vs. KeyCorp | NYSE Composite vs. Chester Mining |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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