Correlation Between Valneva SE and OmniAb

Can any of the company-specific risk be diversified away by investing in both Valneva SE and OmniAb 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 OmniAb 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 OmniAb Inc, you can compare the effects of market volatilities on Valneva SE and OmniAb 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 OmniAb. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and OmniAb.

Diversification Opportunities for Valneva SE and OmniAb

0.75

Correlation Coefficient

Valneva SE  OmniAb

Poor diversification

The 3 months correlation between Valneva and OmniAb is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and OmniAb Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on OmniAb Inc 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 OmniAb. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OmniAb Inc has no effect on the direction of Valneva SE i.e., Valneva SE and OmniAb go up and down completely randomly.

Pair Corralation between Valneva SE and OmniAb

Given the investment horizon of 90 days Valneva SE is expected to generate 1.3 times less return on investment than OmniAb. But when comparing it to its historical volatility, Valneva SE ADR is 2.98 times less risky than OmniAb. It trades about 0.21 of its potential returns per unit of risk. OmniAb Inc is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  34.00  in OmniAb Inc on December 21, 2024 and sell it today you would earn a total of  4.00  from holding OmniAb Inc or generate 11.76% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	58.33%
Values	Daily Returns

Valneva SE ADR  vs.  OmniAb Inc

Valneva SE ADR

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Valneva SE ADR are ranked lower than 16 (%) 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.

OmniAb Inc

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in OmniAb Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating forward indicators, OmniAb showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Valneva SE and OmniAb

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

The idea behind Valneva SE ADR and OmniAb Inc 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.