Correlation Between Amgen and Sapiens International

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

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

Diversification Opportunities for Amgen and Sapiens International

0.88

Correlation Coefficient

Amgen  Sapiens International

Very poor diversification

The 3 months correlation between Amgen and Sapiens is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Amgen Inc and Sapiens International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sapiens International and Amgen 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 Amgen Inc are associated (or correlated) with Sapiens International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sapiens International has no effect on the direction of Amgen i.e., Amgen and Sapiens International go up and down completely randomly.

Pair Corralation between Amgen and Sapiens International

Given the investment horizon of 90 days Amgen Inc is expected to under-perform the Sapiens International. But the stock apears to be less risky and, when comparing its historical volatility, Amgen Inc is 2.17 times less risky than Sapiens International. The stock trades about -0.18 of its potential returns per unit of risk. The Sapiens International is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  3,585  in Sapiens International on September 17, 2024 and sell it today you would lose (737.00) from holding Sapiens International or give up 20.56% of portfolio value over 90 days.

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

Amgen Inc  vs.  Sapiens International

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 inconsistent 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.

Sapiens International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Amgen and Sapiens International

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

The idea behind Amgen Inc and Sapiens International 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.