Correlation Between BAXALTA and FactSet Research

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

By analyzing existing cross correlation between BAXALTA INC 525 and FactSet Research Systems, you can compare the effects of market volatilities on BAXALTA and FactSet Research 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 BAXALTA with a short position of FactSet Research. Check out your portfolio center. Please also check ongoing floating volatility patterns of BAXALTA and FactSet Research.

Diversification Opportunities for BAXALTA and FactSet Research

-0.14

Correlation Coefficient

BAXALTA  FactSet Research

Good diversification

The 3 months correlation between BAXALTA and FactSet is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding BAXALTA INC 525 and FactSet Research Systems in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FactSet Research Systems and BAXALTA 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 BAXALTA INC 525 are associated (or correlated) with FactSet Research. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FactSet Research Systems has no effect on the direction of BAXALTA i.e., BAXALTA and FactSet Research go up and down completely randomly.

Pair Corralation between BAXALTA and FactSet Research

Assuming the 90 days trading horizon BAXALTA INC 525 is expected to generate 1.5 times more return on investment than FactSet Research. However, BAXALTA is 1.5 times more volatile than FactSet Research Systems. It trades about 0.16 of its potential returns per unit of risk. FactSet Research Systems is currently generating about -0.28 per unit of risk. If you would invest  9,508  in BAXALTA INC 525 on October 13, 2024 and sell it today you would earn a total of  285.00  from holding BAXALTA INC 525 or generate 3.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	50.0%
Values	Daily Returns

BAXALTA INC 525  vs.  FactSet Research Systems

BAXALTA INC 525

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BAXALTA INC 525 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, BAXALTA is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

FactSet Research Systems

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days FactSet Research Systems has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable fundamental indicators, FactSet Research is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with BAXALTA and FactSet Research

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

The idea behind BAXALTA INC 525 and FactSet Research Systems 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.

Check out your portfolio center.

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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..