Correlation Between CSL and Innate Pharma
Can any of the company-specific risk be diversified away by investing in both CSL and Innate Pharma 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 CSL and Innate Pharma into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CSL Limited and Innate Pharma, you can compare the effects of market volatilities on CSL and Innate Pharma 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 CSL with a short position of Innate Pharma. Check out your portfolio center. Please also check ongoing floating volatility patterns of CSL and Innate Pharma.
Diversification Opportunities for CSL and Innate Pharma
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CSL and Innate is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding CSL Limited and Innate Pharma in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Innate Pharma and CSL 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 CSL Limited are associated (or correlated) with Innate Pharma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Innate Pharma has no effect on the direction of CSL i.e., CSL and Innate Pharma go up and down completely randomly.
Pair Corralation between CSL and Innate Pharma
Assuming the 90 days horizon CSL Limited is expected to generate 0.25 times more return on investment than Innate Pharma. However, CSL Limited is 3.99 times less risky than Innate Pharma. It trades about -0.2 of its potential returns per unit of risk. Innate Pharma is currently generating about -0.22 per unit of risk. If you would invest 19,025 in CSL Limited on August 27, 2024 and sell it today you would lose (1,871) from holding CSL Limited or give up 9.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CSL Limited vs. Innate Pharma
Performance |
| Timeline |
| CSL Limited |
| Innate Pharma |
CSL and Innate Pharma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CSL and Innate Pharma
The main advantage of trading using opposite CSL and Innate Pharma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CSL position performs unexpectedly, Innate Pharma 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 Innate Pharma will offset losses from the drop in Innate Pharma's long position.| CSL vs. Pmv Pharmaceuticals | CSL vs. Novo Nordisk AS | CSL vs. Kalvista Pharmaceuticals | CSL vs. ProKidney Corp |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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