Correlation Between SIGA Technologies and Bausch Health

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

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

Diversification Opportunities for SIGA Technologies and Bausch Health

-0.56

Correlation Coefficient

SIGA Technologies  Bausch Health

Excellent diversification

The 3 months correlation between SIGA and Bausch is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding SIGA Technologies and Bausch Health Companies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bausch Health Companies and SIGA Technologies 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 SIGA Technologies are associated (or correlated) with Bausch Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bausch Health Companies has no effect on the direction of SIGA Technologies i.e., SIGA Technologies and Bausch Health go up and down completely randomly.

Pair Corralation between SIGA Technologies and Bausch Health

Given the investment horizon of 90 days SIGA Technologies is expected to generate 1.22 times more return on investment than Bausch Health. However, SIGA Technologies is 1.22 times more volatile than Bausch Health Companies. It trades about 0.07 of its potential returns per unit of risk. Bausch Health Companies is currently generating about 0.01 per unit of risk. If you would invest  675.00  in SIGA Technologies on August 31, 2024 and sell it today you would earn a total of  61.00  from holding SIGA Technologies or generate 9.04% return on investment over 90 days.

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

SIGA Technologies  vs.  Bausch Health Companies

SIGA Technologies

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SIGA Technologies has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong technical and fundamental indicators, SIGA Technologies is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Bausch Health Companies

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Bausch Health Companies are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather unfluctuating technical indicators, Bausch Health exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with SIGA Technologies and Bausch Health

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

The idea behind SIGA Technologies and Bausch Health Companies 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.