Correlation Between MacroGenics and Omeros

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

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

Diversification Opportunities for MacroGenics and Omeros

-0.59

Correlation Coefficient

MacroGenics  Omeros

Excellent diversification

The 3 months correlation between MacroGenics and Omeros is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding MacroGenics and Omeros in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Omeros and MacroGenics 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 MacroGenics are associated (or correlated) with Omeros. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Omeros has no effect on the direction of MacroGenics i.e., MacroGenics and Omeros go up and down completely randomly.

Pair Corralation between MacroGenics and Omeros

Given the investment horizon of 90 days MacroGenics is expected to generate 7.37 times less return on investment than Omeros. But when comparing it to its historical volatility, MacroGenics is 4.64 times less risky than Omeros. It trades about 0.02 of its potential returns per unit of risk. Omeros is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  1,138  in Omeros on October 9, 2024 and sell it today you would lose (54.00) from holding Omeros or give up 4.75% of portfolio value over 90 days.

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

MacroGenics  vs.  Omeros

MacroGenics

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MacroGenics has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, MacroGenics is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Omeros

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Omeros are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak technical and fundamental indicators, Omeros reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with MacroGenics and Omeros

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

The idea behind MacroGenics and Omeros 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 Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.