Correlation Between Stepan and Valneva SE

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

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

Diversification Opportunities for Stepan and Valneva SE

0.16

Correlation Coefficient

Stepan  Valneva SE

Average diversification

The 3 months correlation between Stepan and Valneva is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Stepan Company and Valneva SE ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valneva SE ADR and Stepan 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 Stepan Company are associated (or correlated) with Valneva SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valneva SE ADR has no effect on the direction of Stepan i.e., Stepan and Valneva SE go up and down completely randomly.

Pair Corralation between Stepan and Valneva SE

Considering the 90-day investment horizon Stepan Company is expected to generate 0.5 times more return on investment than Valneva SE. However, Stepan Company is 2.0 times less risky than Valneva SE. It trades about -0.1 of its potential returns per unit of risk. Valneva SE ADR is currently generating about -0.15 per unit of risk. If you would invest  7,611  in Stepan Company on September 24, 2024 and sell it today you would lose (899.00) from holding Stepan Company or give up 11.81% of portfolio value over 90 days.

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

Stepan Company  vs.  Valneva SE ADR

Stepan Company

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Stepan Company has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's fundamental indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Valneva SE ADR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Valneva SE ADR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's essential indicators remain very healthy which may send shares a bit higher in January 2025. The recent disarray may also be a sign of long period up-swing for the firm investors.

Pair Trading with Stepan and Valneva SE

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

The idea behind Stepan Company and Valneva SE ADR 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.