Correlation Between CTi Biopharma and ImmunoGen
Can any of the company-specific risk be diversified away by investing in both CTi Biopharma and ImmunoGen 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 CTi Biopharma and ImmunoGen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CTi Biopharma Corp and ImmunoGen, you can compare the effects of market volatilities on CTi Biopharma and ImmunoGen 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 CTi Biopharma with a short position of ImmunoGen. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTi Biopharma and ImmunoGen.
Diversification Opportunities for CTi Biopharma and ImmunoGen
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between CTi and ImmunoGen is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding CTi Biopharma Corp and ImmunoGen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ImmunoGen and CTi Biopharma 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 CTi Biopharma Corp are associated (or correlated) with ImmunoGen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ImmunoGen has no effect on the direction of CTi Biopharma i.e., CTi Biopharma and ImmunoGen go up and down completely randomly.
Pair Corralation between CTi Biopharma and ImmunoGen
Given the investment horizon of 90 days CTi Biopharma is expected to generate 9.72 times less return on investment than ImmunoGen. But when comparing it to its historical volatility, CTi Biopharma Corp is 24.82 times less risky than ImmunoGen. It trades about 0.11 of its potential returns per unit of risk. ImmunoGen is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 1,781 in ImmunoGen on September 2, 2024 and sell it today you would earn a total of 39.00 from holding ImmunoGen or generate 2.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 36.67% |
| Values | Daily Returns |
CTi Biopharma Corp vs. ImmunoGen
Performance |
| Timeline |
| CTi Biopharma Corp |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| ImmunoGen |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
CTi Biopharma and ImmunoGen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CTi Biopharma and ImmunoGen
The main advantage of trading using opposite CTi Biopharma and ImmunoGen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CTi Biopharma position performs unexpectedly, ImmunoGen 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 ImmunoGen will offset losses from the drop in ImmunoGen's long position.| CTi Biopharma vs. Rigel Pharmaceuticals | CTi Biopharma vs. Fortress Biotech | CTi Biopharma vs. Reviva Pharmaceuticals Holdings | CTi Biopharma vs. Protalix Biotherapeutics |
| ImmunoGen vs. Madrigal Pharmaceuticals | ImmunoGen vs. TG Therapeutics | ImmunoGen vs. Terns Pharmaceuticals | ImmunoGen vs. Hepion Pharmaceuticals |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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