Correlation Between Quant and Genmab AS

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

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

Diversification Opportunities for Quant and Genmab AS

0.53

Correlation Coefficient

Quant  Genmab AS

Very weak diversification

The 3 months correlation between Quant and Genmab is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Quant and Genmab AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Genmab AS and Quant 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 Quant 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 Quant i.e., Quant and Genmab AS go up and down completely randomly.

Pair Corralation between Quant and Genmab AS

Assuming the 90 days trading horizon Quant is expected to generate 2.74 times more return on investment than Genmab AS. However, Quant is 2.74 times more volatile than Genmab AS. It trades about 0.04 of its potential returns per unit of risk. Genmab AS is currently generating about -0.02 per unit of risk. If you would invest  9,984  in Quant on January 25, 2024 and sell it today you would earn a total of  801.00  from holding Quant or generate 8.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	95.33%
Values	Daily Returns

Quant  vs.  Genmab AS

Quant

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Quant are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, Quant is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Genmab AS

Risk-Adjusted Performance

2 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Genmab AS are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Genmab AS is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Quant and Genmab AS

The main advantage of trading using opposite Quant and Genmab AS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quant 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 Quant 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.

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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.