Correlation Between Mitsubishi UFJ and Moderna

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

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

Diversification Opportunities for Mitsubishi UFJ and Moderna

-0.89

Correlation Coefficient

Mitsubishi UFJ  Moderna

Pay attention - limited upside

The 3 months correlation between Mitsubishi and Moderna is -0.89. Overlapping area represents the amount of risk that can be diversified away by holding Mitsubishi UFJ Financial and Moderna in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Moderna and Mitsubishi UFJ 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 Mitsubishi UFJ Financial are associated (or correlated) with Moderna. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Moderna has no effect on the direction of Mitsubishi UFJ i.e., Mitsubishi UFJ and Moderna go up and down completely randomly.

Pair Corralation between Mitsubishi UFJ and Moderna

Assuming the 90 days trading horizon Mitsubishi UFJ Financial is expected to generate 0.49 times more return on investment than Moderna. However, Mitsubishi UFJ Financial is 2.04 times less risky than Moderna. It trades about 0.25 of its potential returns per unit of risk. Moderna is currently generating about -0.15 per unit of risk. If you would invest  5,628  in Mitsubishi UFJ Financial on September 24, 2024 and sell it today you would earn a total of  1,694  from holding Mitsubishi UFJ Financial or generate 30.1% return on investment over 90 days.

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

Mitsubishi UFJ Financial  vs.  Moderna

Mitsubishi UFJ Financial

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Mitsubishi UFJ Financial are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Mitsubishi UFJ sustained solid returns over the last few months and may actually be approaching a breakup point.

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 weak performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with Mitsubishi UFJ and Moderna

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

The idea behind Mitsubishi UFJ Financial and Moderna 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.