Correlation Between Moderna and CSL

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

Diversification Opportunities for Moderna and CSL

0.2
  Correlation Coefficient

Modest diversification

The 3 months correlation between Moderna and CSL is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Moderna and CSL Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL Limited and Moderna 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 Moderna are associated (or correlated) with CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL Limited has no effect on the direction of Moderna i.e., Moderna and CSL go up and down completely randomly.

Pair Corralation between Moderna and CSL

Given the investment horizon of 90 days Moderna is expected to generate 1.39 times more return on investment than CSL. However, Moderna is 1.39 times more volatile than CSL Limited. It trades about 0.22 of its potential returns per unit of risk. CSL Limited is currently generating about 0.0 per unit of risk. If you would invest  9,620  in Moderna on December 29, 2023 and sell it today you would earn a total of  1,439  from holding Moderna or generate 14.96% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Moderna  vs.  CSL Limited

 Performance 
       Timeline  
Moderna 

Risk-Adjusted Performance

4 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in Moderna are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Moderna sustained solid returns over the last few months and may actually be approaching a breakup point.
CSL Limited 

Risk-Adjusted Performance

0 of 100

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

Moderna and CSL Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Moderna and CSL

The main advantage of trading using opposite Moderna and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moderna position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.
The idea behind Moderna and CSL Limited 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 the ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.

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