Correlation Between Valneva SE and Naked Wines

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

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

Diversification Opportunities for Valneva SE and Naked Wines

0.31

Correlation Coefficient

Valneva SE  Naked Wines

Weak diversification

The 3 months correlation between Valneva and Naked is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and Naked Wines plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Naked Wines plc and Valneva SE 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 Valneva SE ADR are associated (or correlated) with Naked Wines. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Naked Wines plc has no effect on the direction of Valneva SE i.e., Valneva SE and Naked Wines go up and down completely randomly.

Pair Corralation between Valneva SE and Naked Wines

Given the investment horizon of 90 days Valneva SE is expected to generate 1.24 times less return on investment than Naked Wines. But when comparing it to its historical volatility, Valneva SE ADR is 2.16 times less risky than Naked Wines. It trades about 0.19 of its potential returns per unit of risk. Naked Wines plc is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  255.00  in Naked Wines plc on December 29, 2024 and sell it today you would earn a total of  154.00  from holding Naked Wines plc or generate 60.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	96.83%
Values	Daily Returns

Valneva SE ADR  vs.  Naked Wines plc

Valneva SE ADR

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Valneva SE ADR are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of very uncertain essential indicators, Valneva SE displayed solid returns over the last few months and may actually be approaching a breakup point.

Naked Wines plc

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Naked Wines plc are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, Naked Wines showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Valneva SE and Naked Wines

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

The idea behind Valneva SE ADR and Naked Wines plc 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.