Correlation Between ASTELLAS PHARMA and Amgen

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

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

Diversification Opportunities for ASTELLAS PHARMA and Amgen

-0.36

Correlation Coefficient

ASTELLAS PHARMA  Amgen

Very good diversification

The 3 months correlation between ASTELLAS and Amgen is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding ASTELLAS PHARMA UNSPADR and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and ASTELLAS PHARMA 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 ASTELLAS PHARMA UNSPADR are associated (or correlated) with Amgen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amgen Inc has no effect on the direction of ASTELLAS PHARMA i.e., ASTELLAS PHARMA and Amgen go up and down completely randomly.

Pair Corralation between ASTELLAS PHARMA and Amgen

Assuming the 90 days trading horizon ASTELLAS PHARMA UNSPADR is expected to under-perform the Amgen. But the stock apears to be less risky and, when comparing its historical volatility, ASTELLAS PHARMA UNSPADR is 1.16 times less risky than Amgen. The stock trades about -0.01 of its potential returns per unit of risk. The Amgen Inc is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  24,785  in Amgen Inc on December 29, 2024 and sell it today you would earn a total of  3,510  from holding Amgen Inc or generate 14.16% return on investment over 90 days.

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

ASTELLAS PHARMA UNSPADR  vs.  Amgen Inc

ASTELLAS PHARMA UNSPADR

Risk-Adjusted Performance

Very Weak

Over the last 90 days ASTELLAS PHARMA UNSPADR has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable technical indicators, ASTELLAS PHARMA is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Amgen Inc

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Amgen Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Amgen reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with ASTELLAS PHARMA and Amgen

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

The idea behind ASTELLAS PHARMA UNSPADR and Amgen 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.