Correlation Between Genmab AS and Danske Invest

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

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

Diversification Opportunities for Genmab AS and Danske Invest

-0.42

Correlation Coefficient

Genmab AS  Danske Invest

Very good diversification

The 3 months correlation between Genmab and Danske is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Genmab AS and Danske Invest Euro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Danske Invest Euro and Genmab AS 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 Genmab AS are associated (or correlated) with Danske Invest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Danske Invest Euro has no effect on the direction of Genmab AS i.e., Genmab AS and Danske Invest go up and down completely randomly.

Pair Corralation between Genmab AS and Danske Invest

Assuming the 90 days trading horizon Genmab AS is expected to generate 11.53 times more return on investment than Danske Invest. However, Genmab AS is 11.53 times more volatile than Danske Invest Euro. It trades about 0.14 of its potential returns per unit of risk. Danske Invest Euro is currently generating about -0.64 per unit of risk. If you would invest  153,600  in Genmab AS on October 12, 2024 and sell it today you would earn a total of  7,150  from holding Genmab AS or generate 4.65% return on investment over 90 days.

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

Genmab AS  vs.  Danske Invest Euro

Genmab AS

Risk-Adjusted Performance

0 of 100

Very Weak

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

Danske Invest Euro

Risk-Adjusted Performance

0 of 100

Insignificant

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

Pair Trading with Genmab AS and Danske Invest

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

The idea behind Genmab AS and Danske Invest Euro 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.