Correlation Between Sage Therapeutic and Valneva SE
Can any of the company-specific risk be diversified away by investing in both Sage Therapeutic and Valneva SE 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 Sage Therapeutic and Valneva SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sage Therapeutic and Valneva SE ADR, you can compare the effects of market volatilities on Sage Therapeutic and Valneva SE 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 Sage Therapeutic with a short position of Valneva SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sage Therapeutic and Valneva SE.
Diversification Opportunities for Sage Therapeutic and Valneva SE
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sage and Valneva is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Sage Therapeutic and Valneva SE ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valneva SE ADR and Sage Therapeutic 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 Sage Therapeutic are associated (or correlated) with Valneva SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valneva SE ADR has no effect on the direction of Sage Therapeutic i.e., Sage Therapeutic and Valneva SE go up and down completely randomly.
Pair Corralation between Sage Therapeutic and Valneva SE
Given the investment horizon of 90 days Sage Therapeutic is expected to under-perform the Valneva SE. In addition to that, Sage Therapeutic is 1.22 times more volatile than Valneva SE ADR. It trades about -0.05 of its total potential returns per unit of risk. Valneva SE ADR is currently generating about -0.03 per unit of volatility. If you would invest 1,368 in Valneva SE ADR on August 8, 2024 and sell it today you would lose (790.00) from holding Valneva SE ADR or give up 57.75% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Sage Therapeutic vs. Valneva SE ADR
Performance |
Timeline |
Sage Therapeutic |
Valneva SE ADR |
Sage Therapeutic and Valneva SE Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Sage Therapeutic and Valneva SE
The main advantage of trading using opposite Sage Therapeutic and Valneva SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sage Therapeutic position performs unexpectedly, Valneva SE 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 Valneva SE will offset losses from the drop in Valneva SE's long position.Sage Therapeutic vs. Apellis Pharmaceuticals | Sage Therapeutic vs. Terns Pharmaceuticals | Sage Therapeutic vs. Day One Biopharmaceuticals | Sage Therapeutic vs. Blueprint Medicines Corp |
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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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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