Correlation Between SEBinvest Danske and Genmab AS

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Can any of the company-specific risk be diversified away by investing in both SEBinvest Danske and Genmab AS 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 SEBinvest Danske and Genmab AS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SEBinvest Danske and Genmab AS, you can compare the effects of market volatilities on SEBinvest Danske and Genmab AS 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 SEBinvest Danske with a short position of Genmab AS. Check out your portfolio center. Please also check ongoing floating volatility patterns of SEBinvest Danske and Genmab AS.

Diversification Opportunities for SEBinvest Danske and Genmab AS

-0.14
  Correlation Coefficient

Good diversification

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

Pair Corralation between SEBinvest Danske and Genmab AS

Assuming the 90 days trading horizon SEBinvest Danske is expected to generate 1.73 times less return on investment than Genmab AS. But when comparing it to its historical volatility, SEBinvest Danske is 3.82 times less risky than Genmab AS. It trades about 0.22 of its potential returns per unit of risk. Genmab AS is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  198,850  in Genmab AS on December 29, 2023 and sell it today you would earn a total of  9,550  from holding Genmab AS or generate 4.8% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

SEBinvest - Danske  vs.  Genmab AS

 Performance 
       Timeline  
SEBinvest - Danske 

Risk-Adjusted Performance

3 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in SEBinvest Danske are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable forward-looking signals, SEBinvest Danske is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.
Genmab AS 

Risk-Adjusted Performance

0 of 100

 
Low
 
High
Very Weak
Over the last 90 days Genmab AS has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Genmab AS is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

SEBinvest Danske and Genmab AS Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with SEBinvest Danske and Genmab AS

The main advantage of trading using opposite SEBinvest Danske and Genmab AS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SEBinvest Danske position performs unexpectedly, Genmab AS 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 Genmab AS will offset losses from the drop in Genmab AS's long position.
The idea behind SEBinvest Danske and Genmab AS 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.

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