Correlation Between Regeneron Pharmaceuticals and Amgen

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

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

Diversification Opportunities for Regeneron Pharmaceuticals and Amgen

0.64

Correlation Coefficient

Regeneron Pharmaceuticals  Amgen

Poor diversification

The 3 months correlation between Regeneron and Amgen is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Regeneron Pharmaceuticals and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and Regeneron Pharmaceuticals 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 Regeneron Pharmaceuticals 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 Regeneron Pharmaceuticals i.e., Regeneron Pharmaceuticals and Amgen go up and down completely randomly.

Pair Corralation between Regeneron Pharmaceuticals and Amgen

Given the investment horizon of 90 days Regeneron Pharmaceuticals is expected to under-perform the Amgen. In addition to that, Regeneron Pharmaceuticals is 2.23 times more volatile than Amgen Inc. It trades about -0.39 of its total potential returns per unit of risk. Amgen Inc is currently generating about 0.0 per unit of volatility. If you would invest  31,745  in Amgen Inc on August 7, 2024 and sell it today you would lose (54.00) from holding Amgen Inc or give up 0.17% of portfolio value over 90 days.

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

Regeneron Pharmaceuticals  vs.  Amgen Inc

Regeneron Pharmaceuticals

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Regeneron Pharmaceuticals 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 technical and fundamental indicators remain very healthy which may send shares a bit higher in December 2024. The recent disarray may also be a sign of long period up-swing for the firm investors.

Amgen Inc

Risk-Adjusted Performance

2 of 100

Very Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Amgen Inc are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy technical and fundamental indicators, Amgen is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Regeneron Pharmaceuticals and Amgen

The main advantage of trading using opposite Regeneron Pharmaceuticals and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Regeneron Pharmaceuticals 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.

The idea behind Regeneron Pharmaceuticals and Amgen Inc 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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.