Correlation Between Moderna and NMI Holdings

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

By analyzing existing cross correlation between Moderna and NMI Holdings, you can compare the effects of market volatilities on Moderna and NMI Holdings 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 NMI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moderna and NMI Holdings.

Diversification Opportunities for Moderna and NMI Holdings

0.13

Correlation Coefficient

Moderna  NMI Holdings

Average diversification

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

Pair Corralation between Moderna and NMI Holdings

Assuming the 90 days horizon Moderna is expected to under-perform the NMI Holdings. In addition to that, Moderna is 2.62 times more volatile than NMI Holdings. It trades about -0.05 of its total potential returns per unit of risk. NMI Holdings is currently generating about 0.1 per unit of volatility. If you would invest  2,620  in NMI Holdings on September 12, 2024 and sell it today you would earn a total of  1,080  from holding NMI Holdings or generate 41.22% return on investment over 90 days.

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

Moderna  vs.  NMI Holdings

Moderna

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Moderna has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

NMI Holdings

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in NMI Holdings are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, NMI Holdings is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Moderna and NMI Holdings

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

The idea behind Moderna and NMI Holdings 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.