Amgen Correlations

AMGN34 Stock

BRL 60.11 0.07 0.12%

The current 90-days correlation between Amgen Inc and Deutsche Bank Aktiengesellschaft is 0.17 (i.e., Average diversification). The correlation of Amgen is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Amgen Correlation With Market

Good diversification

The correlation between Amgen Inc and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Amgen Inc and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Amgen could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Amgen when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Amgen - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Amgen Inc to buy it.

Moving together with Amgen Stock

0.66	LILY34	Eli Lilly	Pair Corr
0.61	PFIZ34	Pfizer Inc	Pair Corr
0.73	N1VS34	Novartis AG	Pair Corr

Moving against Amgen Stock

0.6	UNIP5	Unipar Carbocloro	Pair Corr
0.6	UNIP3	Unipar Carbocloro	Pair Corr
0.58	ARMT34	ArcelorMittal SA	Pair Corr
0.54	CTGP34	Citigroup	Pair Corr
0.52	GSGI34	Goldman Sachs	Pair Corr
0.52	BOAC34	Bank of America	Pair Corr
0.51	MSBR34	Morgan Stanley	Pair Corr
0.48	H1SB34	HSBC Holdings plc	Pair Corr
0.48	JPMC34	JPMorgan Chase	Pair Corr
0.42	W1MC34	Waste Management	Pair Corr
0.32	H1DB34	HDFC Bank Limited	Pair Corr
0.31	TSMC34	Taiwan Semiconductor	Pair Corr

Related Correlations Analysis

	DBAG34	D1EL34	LVTC3	LUPA3	MUTC34	RYTT34	U2ST34
DBAG34		0.67	-0.58	-0.4	0.81	0.69	0.66	DBAG34
D1EL34	0.67		-0.75	-0.44	0.74	0.6	0.63	D1EL34
LVTC3	-0.58	-0.75		0.38	-0.52	-0.7	-0.52	LVTC3
LUPA3	-0.4	-0.44	0.38		-0.28	-0.21	-0.57	LUPA3
MUTC34	0.81	0.74	-0.52	-0.28		0.73	0.56	MUTC34
RYTT34	0.69	0.6	-0.7	-0.21	0.73		0.41	RYTT34
U2ST34	0.66	0.63	-0.52	-0.57	0.56	0.41		U2ST34
	DBAG34	D1EL34	LVTC3	LUPA3	MUTC34	RYTT34	U2ST34

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

MUTC34	+ 0.81	DBAG34
MUTC34	+ 0.74	D1EL34
RYTT34	+ 0.73	MUTC34
RYTT34	+ 0.69	DBAG34
D1EL34	+ 0.67	DBAG34
U2ST34	+ 0.66	DBAG34

High negative correlations

LVTC3	- 0.75	D1EL34
RYTT34	- 0.7	LVTC3
LVTC3	- 0.58	DBAG34
U2ST34	- 0.57	LUPA3
U2ST34	- 0.52	LVTC3
MUTC34	- 0.52	LVTC3

Risk-Adjusted Indicators

There is a big difference between Amgen Stock performing well and Amgen Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Amgen's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DBAG34	1.10	0.24	0.07	(0.74)	1.09	(1.55)	3.08	(2.42)	7.02
D1EL34	2.12	0.25	0.05	3.40	2.79	(2.32)	4.99	(4.10)	16.68
LVTC3	1.93	(0.33)	0.00	2.30	0.00	0.00	3.61	(4.00)	13.66
LUPA3	1.62	(0.18)	0.00	(1.26)	0.00	0.00	3.52	(4.11)	17.30
MUTC34	2.50	0.16	0.04	0.30	3.06	(2.61)	4.49	(5.09)	21.03
RYTT34	1.05	0.01	(0.05)	0.14	1.32	(1.17)	2.07	(2.08)	9.72
U2ST34	3.16	0.84	0.20	(4.77)	2.94	(3.68)	8.32	(5.55)	18.61

Be your own money manager

Our tools can tell you how much better you can do entering a position in Amgen without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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