Correlation Between AstraZeneca PLC and SEI Investments

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

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

Diversification Opportunities for AstraZeneca PLC and SEI Investments

0.13

Correlation Coefficient

AstraZeneca PLC  SEI Investments

Average diversification

The 3 months correlation between AstraZeneca and SEI is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding AstraZeneca PLC ADR and SEI Investments in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SEI Investments and AstraZeneca PLC 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 AstraZeneca PLC ADR are associated (or correlated) with SEI Investments. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SEI Investments has no effect on the direction of AstraZeneca PLC i.e., AstraZeneca PLC and SEI Investments go up and down completely randomly.

Pair Corralation between AstraZeneca PLC and SEI Investments

Considering the 90-day investment horizon AstraZeneca PLC ADR is expected to generate 1.51 times more return on investment than SEI Investments. However, AstraZeneca PLC is 1.51 times more volatile than SEI Investments. It trades about 0.42 of its potential returns per unit of risk. SEI Investments is currently generating about -0.36 per unit of risk. If you would invest  6,725  in AstraZeneca PLC ADR on February 1, 2024 and sell it today you would earn a total of  863.00  from holding AstraZeneca PLC ADR or generate 12.83% return on investment over 90 days.

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

AstraZeneca PLC ADR  vs.  SEI Investments

AstraZeneca PLC ADR

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AstraZeneca PLC ADR are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, AstraZeneca PLC displayed solid returns over the last few months and may actually be approaching a breakup point.

SEI Investments

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SEI Investments has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound forward indicators, SEI Investments is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with AstraZeneca PLC and SEI Investments

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

The idea behind AstraZeneca PLC ADR and SEI Investments 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.