Correlation Between Eli Lilly and Amgen

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

Diversification Opportunities for Eli Lilly and Amgen

0.41
  Correlation Coefficient

Very weak diversification

The 3 months correlation between Eli Lilly and Amgen is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly And and Amgen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amgen Inc and Eli Lilly 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 Eli Lilly And 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 Eli Lilly i.e., Eli Lilly and Amgen go up and down completely randomly.

Pair Corralation between Eli Lilly and Amgen

Considering the 90-day investment horizon Eli Lilly And is expected to generate 2.07 times more return on investment than Amgen. However, Eli Lilly is 2.07 times more volatile than Amgen Inc. It trades about 0.14 of its potential returns per unit of risk. Amgen Inc is currently generating about 0.14 per unit of risk. If you would invest  29,139  in Eli Lilly And on April 5, 2022 and sell it today you would earn a total of  3,332  from holding Eli Lilly And or generate 11.43% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Eli Lilly And  vs.  Amgen Inc

 Performance (%) 
      Timeline 
Eli Lilly And 
Eli Lilly Performance
7 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Eli Lilly And are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak essential indicators, Eli Lilly may actually be approaching a critical reversion point that can send shares even higher in August 2022.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0121
Payout Ratio
0.41
Last Split Factor
2:1
Forward Annual Dividend Rate
3.92
Dividend Date
2022-09-09
Ex Dividend Date
2022-08-12
Last Split Date
1997-10-16

Eli Lilly Price Channel

Amgen Inc 
Amgen Performance
1 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Amgen Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent technical and fundamental indicators, Amgen is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0316
Payout Ratio
0.42
Last Split Factor
2:1
Forward Annual Dividend Rate
7.76
Dividend Date
2022-06-08
Ex Dividend Date
2022-05-16
Last Split Date
1999-11-22

Amgen Price Channel

Eli Lilly and Amgen Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Eli Lilly and Amgen

The main advantage of trading using opposite Eli Lilly and Amgen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eli Lilly 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 Eli Lilly And 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.
Check out your portfolio center. 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.

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