Correlation Between Valneva SE and Transgene

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

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

Diversification Opportunities for Valneva SE and Transgene

0.64

Correlation Coefficient

Valneva SE  Transgene

Poor diversification

The 3 months correlation between Valneva and Transgene is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE and Transgene SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transgene SA and Valneva SE 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 Valneva SE are associated (or correlated) with Transgene. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transgene SA has no effect on the direction of Valneva SE i.e., Valneva SE and Transgene go up and down completely randomly.

Pair Corralation between Valneva SE and Transgene

Assuming the 90 days trading horizon Valneva SE is expected to under-perform the Transgene. But the stock apears to be less risky and, when comparing its historical volatility, Valneva SE is 1.68 times less risky than Transgene. The stock trades about -0.1 of its potential returns per unit of risk. The Transgene SA is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  113.00  in Transgene SA on January 29, 2024 and sell it today you would earn a total of  8.00  from holding Transgene SA or generate 7.08% return on investment over 90 days.

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

Valneva SE  vs.  Transgene SA

Valneva SE

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Valneva SE has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Valneva SE is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Transgene SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Transgene SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong technical and fundamental indicators, Transgene is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Valneva SE and Transgene

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

The idea behind Valneva SE and Transgene SA 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.