Correlation Between Neurocrine Biosciences and Autolus Therapeutics

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

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

Diversification Opportunities for Neurocrine Biosciences and Autolus Therapeutics

-0.51

Correlation Coefficient

Neurocrine Biosciences  Autolus Therapeutics

Excellent diversification

The 3 months correlation between Neurocrine and Autolus is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Neurocrine Biosciences and Autolus Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Autolus Therapeutics and Neurocrine Biosciences 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 Neurocrine Biosciences are associated (or correlated) with Autolus Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Autolus Therapeutics has no effect on the direction of Neurocrine Biosciences i.e., Neurocrine Biosciences and Autolus Therapeutics go up and down completely randomly.

Pair Corralation between Neurocrine Biosciences and Autolus Therapeutics

Given the investment horizon of 90 days Neurocrine Biosciences is expected to generate 0.35 times more return on investment than Autolus Therapeutics. However, Neurocrine Biosciences is 2.85 times less risky than Autolus Therapeutics. It trades about 0.03 of its potential returns per unit of risk. Autolus Therapeutics is currently generating about -0.05 per unit of risk. If you would invest  12,254  in Neurocrine Biosciences on September 4, 2024 and sell it today you would earn a total of  335.00  from holding Neurocrine Biosciences or generate 2.73% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Neurocrine Biosciences  vs.  Autolus Therapeutics

Neurocrine Biosciences

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Neurocrine Biosciences are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong forward indicators, Neurocrine Biosciences is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Autolus Therapeutics

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Autolus Therapeutics 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 quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Neurocrine Biosciences and Autolus Therapeutics

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

The idea behind Neurocrine Biosciences and Autolus Therapeutics 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.