Correlation Between Alector and Agenus
Can any of the company-specific risk be diversified away by investing in both Alector and Agenus 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 Alector and Agenus into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alector and Agenus Inc, you can compare the effects of market volatilities on Alector and Agenus 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 Alector with a short position of Agenus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alector and Agenus.
Diversification Opportunities for Alector and Agenus
Poor diversification
The 3 months correlation between Alector and Agenus is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Alector and Agenus Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Agenus Inc and Alector 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 Alector are associated (or correlated) with Agenus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agenus Inc has no effect on the direction of Alector i.e., Alector and Agenus go up and down completely randomly.
Pair Corralation between Alector and Agenus
Given the investment horizon of 90 days Alector is expected to under-perform the Agenus. But the stock apears to be less risky and, when comparing its historical volatility, Alector is 1.18 times less risky than Agenus. The stock trades about -0.16 of its potential returns per unit of risk. The Agenus Inc is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 441.00 in Agenus Inc on August 28, 2024 and sell it today you would lose (86.00) from holding Agenus Inc or give up 19.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Alector vs. Agenus Inc
Performance |
| Timeline |
| Alector |
| Agenus Inc |
Alector and Agenus Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alector and Agenus
The main advantage of trading using opposite Alector and Agenus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alector position performs unexpectedly, Agenus 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 Agenus will offset losses from the drop in Agenus' long position.| Alector vs. Passage Bio | Alector vs. Black Diamond Therapeutics | Alector vs. Revolution Medicines | Alector vs. Stoke Therapeutics |
| Agenus vs. Marker Therapeutics | Agenus vs. Edgewise Therapeutics | Agenus vs. Adaptimmune Therapeutics Plc | Agenus vs. Mereo BioPharma Group |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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