Correlation Between Ambev SA and Amgen

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

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

Diversification Opportunities for Ambev SA and Amgen

0.59

Correlation Coefficient

Ambev SA  Amgen

Very weak diversification

The 3 months correlation between Ambev and Amgen is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Ambev SA ADR and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and Ambev SA 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 Ambev SA ADR 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 Ambev SA i.e., Ambev SA and Amgen go up and down completely randomly.

Pair Corralation between Ambev SA and Amgen

Given the investment horizon of 90 days Ambev SA ADR is expected to under-perform the Amgen. In addition to that, Ambev SA is 1.09 times more volatile than Amgen Inc. It trades about -0.01 of its total potential returns per unit of risk. Amgen Inc is currently generating about 0.02 per unit of volatility. If you would invest  24,547  in Amgen Inc on September 23, 2024 and sell it today you would earn a total of  1,791  from holding Amgen Inc or generate 7.3% return on investment over 90 days.

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

Ambev SA ADR  vs.  Amgen Inc

Ambev SA ADR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ambev SA ADR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's technical and fundamental indicators remain stable and the latest fuss on Wall Street may also be a sign of long-term gains for the venture sophisticated investors.

Amgen Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amgen Inc has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's technical and fundamental indicators remain very healthy which may send shares a bit higher in January 2025. The recent disarray may also be a sign of long period up-swing for the firm investors.

Pair Trading with Ambev SA and Amgen

The main advantage of trading using opposite Ambev SA and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ambev SA 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 Ambev SA ADR 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.