Correlation Between Intercept Pharmaceuticals and CRISPR Therapeutics

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Can any of the company-specific risk be diversified away by investing in both Intercept Pharmaceuticals and CRISPR 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 Intercept Pharmaceuticals and CRISPR Therapeutics into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Intercept Pharmaceuticals and CRISPR Therapeutics AG, you can compare the effects of market volatilities on Intercept Pharmaceuticals and CRISPR 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 Intercept Pharmaceuticals with a short position of CRISPR Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Intercept Pharmaceuticals and CRISPR Therapeutics.

Diversification Opportunities for Intercept Pharmaceuticals and CRISPR Therapeutics

-0.11
  Correlation Coefficient

Good diversification

The 3 months correlation between Intercept and CRISPR is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding Intercept Pharmaceuticals and CRISPR Therapeutics AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CRISPR Therapeutics and Intercept Pharmaceuticals 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 Intercept Pharmaceuticals are associated (or correlated) with CRISPR Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CRISPR Therapeutics has no effect on the direction of Intercept Pharmaceuticals i.e., Intercept Pharmaceuticals and CRISPR Therapeutics go up and down completely randomly.

Pair Corralation between Intercept Pharmaceuticals and CRISPR Therapeutics

Given the investment horizon of 90 days Intercept Pharmaceuticals is expected to generate 1.66 times more return on investment than CRISPR Therapeutics. However, Intercept Pharmaceuticals is 1.66 times more volatile than CRISPR Therapeutics AG. It trades about 0.06 of its potential returns per unit of risk. CRISPR Therapeutics AG is currently generating about -0.11 per unit of risk. If you would invest  1,419  in Intercept Pharmaceuticals on June 26, 2022 and sell it today you would earn a total of  105.00  from holding Intercept Pharmaceuticals or generate 7.4% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Intercept Pharmaceuticals  vs.  CRISPR Therapeutics AG

 Performance (%) 
       Timeline  
Intercept Pharmaceuticals 
Intercept Performance
4 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Intercept Pharmaceuticals are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Intercept Pharmaceuticals unveiled solid returns over the last few months and may actually be approaching a breakup point.

Intercept Price Channel

CRISPR Therapeutics 
CRISPR Performance
0 of 100
Over the last 90 days CRISPR Therapeutics AG has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, CRISPR Therapeutics is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the insiders.

CRISPR Price Channel

Intercept Pharmaceuticals and CRISPR Therapeutics Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Intercept Pharmaceuticals and CRISPR Therapeutics

The main advantage of trading using opposite Intercept Pharmaceuticals and CRISPR Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Intercept Pharmaceuticals position performs unexpectedly, CRISPR 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 CRISPR Therapeutics will offset losses from the drop in CRISPR Therapeutics' long position.
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The idea behind Intercept Pharmaceuticals and CRISPR Therapeutics AG 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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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.

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