Correlation Between Moderna and Sarepta Therapeutics

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

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

Diversification Opportunities for Moderna and Sarepta Therapeutics

0.8

Correlation Coefficient

Moderna  Sarepta Therapeutics

Very poor diversification

The 3 months correlation between Moderna and Sarepta is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Moderna and Sarepta Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sarepta Therapeutics 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 Sarepta Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sarepta Therapeutics has no effect on the direction of Moderna i.e., Moderna and Sarepta Therapeutics go up and down completely randomly.

Pair Corralation between Moderna and Sarepta Therapeutics

Given the investment horizon of 90 days Moderna is expected to generate 0.97 times more return on investment than Sarepta Therapeutics. However, Moderna is 1.03 times less risky than Sarepta Therapeutics. It trades about -0.09 of its potential returns per unit of risk. Sarepta Therapeutics is currently generating about -0.21 per unit of risk. If you would invest  3,589  in Moderna on January 18, 2025 and sell it today you would lose (1,118) from holding Moderna or give up 31.14% of portfolio value over 90 days.

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

Moderna  vs.  Sarepta Therapeutics

Moderna

Risk-Adjusted Performance

Very Weak

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

Sarepta Therapeutics

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sarepta Therapeutics has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in May 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Pair Trading with Moderna and Sarepta Therapeutics

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

The idea behind Moderna and Sarepta Therapeutics 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.