Correlation Between Genmab AS and Altria

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

By analyzing existing cross correlation between Genmab AS and Altria Group, you can compare the effects of market volatilities on Genmab AS and Altria 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 Genmab AS with a short position of Altria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Genmab AS and Altria.

Diversification Opportunities for Genmab AS and Altria

0.71

Correlation Coefficient

Genmab AS  Altria

Poor diversification

The 3 months correlation between Genmab and Altria is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Genmab AS and Altria Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altria Group and Genmab AS 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 Genmab AS are associated (or correlated) with Altria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altria Group has no effect on the direction of Genmab AS i.e., Genmab AS and Altria go up and down completely randomly.

Pair Corralation between Genmab AS and Altria

Assuming the 90 days horizon Genmab AS is expected to under-perform the Altria. In addition to that, Genmab AS is 2.12 times more volatile than Altria Group. It trades about -0.21 of its total potential returns per unit of risk. Altria Group is currently generating about -0.02 per unit of volatility. If you would invest  4,312  in Altria Group on January 26, 2024 and sell it today you would lose (20.00) from holding Altria Group or give up 0.46% of portfolio value over 90 days.

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

Genmab AS  vs.  Altria Group

Genmab AS

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Genmab AS are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Genmab AS is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Altria Group

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Altria Group are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of very inconsistent basic indicators, Altria may actually be approaching a critical reversion point that can send shares even higher in May 2024.

Pair Trading with Genmab AS and Altria

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

The idea behind Genmab AS and Altria Group 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.