Correlation Between Durect and Repligen

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

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

Diversification Opportunities for Durect and Repligen

-0.51

Correlation Coefficient

Durect  Repligen

Excellent diversification

The 3 months correlation between Durect and Repligen is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Durect and Repligen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Repligen and Durect 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 Durect are associated (or correlated) with Repligen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Repligen has no effect on the direction of Durect i.e., Durect and Repligen go up and down completely randomly.

Pair Corralation between Durect and Repligen

Given the investment horizon of 90 days Durect is expected to under-perform the Repligen. In addition to that, Durect is 2.25 times more volatile than Repligen. It trades about -0.01 of its total potential returns per unit of risk. Repligen is currently generating about 0.01 per unit of volatility. If you would invest  15,893  in Repligen on September 29, 2024 and sell it today you would lose (1,339) from holding Repligen or give up 8.43% of portfolio value over 90 days.

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

Durect  vs.  Repligen

Durect

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Durect 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 basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Repligen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Repligen has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy technical and fundamental indicators, Repligen is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Durect and Repligen

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

The idea behind Durect and Repligen 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.