Correlation Between Immutep and CSL
Can any of the company-specific risk be diversified away by investing in both Immutep and CSL 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 CSL 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 CSL Limited, you can compare the effects of market volatilities on Immutep and CSL 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 CSL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Immutep and CSL.
Diversification Opportunities for Immutep and CSL
Very weak diversification
The 3 months correlation between Immutep and CSL is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Immutep Ltd ADR and CSL Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL Limited 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 CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL Limited has no effect on the direction of Immutep i.e., Immutep and CSL go up and down completely randomly.
Pair Corralation between Immutep and CSL
Given the investment horizon of 90 days Immutep Ltd ADR is expected to generate 2.12 times more return on investment than CSL. However, Immutep is 2.12 times more volatile than CSL Limited. It trades about 0.14 of its potential returns per unit of risk. CSL Limited is currently generating about -0.06 per unit of risk. If you would invest 182.00 in Immutep Ltd ADR on September 2, 2024 and sell it today you would earn a total of 21.00 from holding Immutep Ltd ADR or generate 11.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Immutep Ltd ADR vs. CSL Limited
Performance |
| Timeline |
| Immutep Ltd ADR |
| CSL Limited |
Immutep and CSL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Immutep and CSL
The main advantage of trading using opposite Immutep and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Immutep position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.| Immutep vs. Ocean Biomedical | Immutep vs. Elevation Oncology | Immutep vs. Zura Bio Limited | Immutep vs. Cns 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 Transaction History module to view history of all your transactions and understand their impact on performance.
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