Correlation Between AMGEN and Sprott Focus

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

By analyzing existing cross correlation between AMGEN INC 4663 and Sprott Focus Trust, you can compare the effects of market volatilities on AMGEN and Sprott Focus 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 AMGEN with a short position of Sprott Focus. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMGEN and Sprott Focus.

Diversification Opportunities for AMGEN and Sprott Focus

-0.56

Correlation Coefficient

AMGEN  Sprott Focus

Excellent diversification

The 3 months correlation between AMGEN and Sprott is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding AMGEN INC 4663 and Sprott Focus Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sprott Focus Trust and AMGEN 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 AMGEN INC 4663 are associated (or correlated) with Sprott Focus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sprott Focus Trust has no effect on the direction of AMGEN i.e., AMGEN and Sprott Focus go up and down completely randomly.

Pair Corralation between AMGEN and Sprott Focus

Assuming the 90 days trading horizon AMGEN is expected to generate 5.01 times less return on investment than Sprott Focus. In addition to that, AMGEN is 2.94 times more volatile than Sprott Focus Trust. It trades about 0.01 of its total potential returns per unit of risk. Sprott Focus Trust is currently generating about 0.16 per unit of volatility. If you would invest  752.00  in Sprott Focus Trust on September 12, 2024 and sell it today you would earn a total of  60.00  from holding Sprott Focus Trust or generate 7.98% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.31%
Values	Daily Returns

AMGEN INC 4663  vs.  Sprott Focus Trust

AMGEN INC 4663

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AMGEN INC 4663 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, AMGEN is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sprott Focus Trust

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sprott Focus Trust are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather inconsistent basic indicators, Sprott Focus may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with AMGEN and Sprott Focus

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

The idea behind AMGEN INC 4663 and Sprott Focus Trust 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.