Correlation Between Immutep and Biogen

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

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

Diversification Opportunities for Immutep and Biogen

-0.4

Correlation Coefficient

Immutep  Biogen

Very good diversification

The 3 months correlation between Immutep and Biogen is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding Immutep Ltd ADR and Biogen Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Biogen Inc and Immutep 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 Immutep Ltd ADR are associated (or correlated) with Biogen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Biogen Inc has no effect on the direction of Immutep i.e., Immutep and Biogen go up and down completely randomly.

Pair Corralation between Immutep and Biogen

Given the investment horizon of 90 days Immutep Ltd ADR is expected to generate 1.87 times more return on investment than Biogen. However, Immutep is 1.87 times more volatile than Biogen Inc. It trades about 0.03 of its potential returns per unit of risk. Biogen Inc is currently generating about 0.02 per unit of risk. If you would invest  230.00  in Immutep Ltd ADR on February 1, 2024 and sell it today you would earn a total of  39.00  from holding Immutep Ltd ADR or generate 16.96% return on investment over 90 days.

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

Immutep Ltd ADR  vs.  Biogen Inc

Immutep Ltd ADR

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Immutep Ltd ADR are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Even with relatively unfluctuating primary indicators, Immutep reported solid returns over the last few months and may actually be approaching a breakup point.

Biogen Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Biogen Inc 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 forward indicators remain somewhat strong which may send shares a bit higher in June 2024. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with Immutep and Biogen

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

The idea behind Immutep Ltd ADR and Biogen Inc 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.