Correlation Between Imugene and Black Rock
Can any of the company-specific risk be diversified away by investing in both Imugene and Black Rock 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 Imugene and Black Rock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Imugene and Black Rock Mining, you can compare the effects of market volatilities on Imugene and Black Rock 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 Imugene with a short position of Black Rock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imugene and Black Rock.
Diversification Opportunities for Imugene and Black Rock
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Imugene and Black is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Imugene and Black Rock Mining in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Black Rock Mining and Imugene 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 Imugene are associated (or correlated) with Black Rock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Black Rock Mining has no effect on the direction of Imugene i.e., Imugene and Black Rock go up and down completely randomly.
Pair Corralation between Imugene and Black Rock
Assuming the 90 days trading horizon Imugene is expected to generate 1.09 times more return on investment than Black Rock. However, Imugene is 1.09 times more volatile than Black Rock Mining. It trades about -0.03 of its potential returns per unit of risk. Black Rock Mining is currently generating about -0.04 per unit of risk. If you would invest 19.00 in Imugene on August 30, 2024 and sell it today you would lose (15.00) from holding Imugene or give up 78.95% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Imugene vs. Black Rock Mining
Performance |
| Timeline |
| Imugene |
| Black Rock Mining |
Imugene and Black Rock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Imugene and Black Rock
The main advantage of trading using opposite Imugene and Black Rock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Imugene position performs unexpectedly, Black Rock 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 Black Rock will offset losses from the drop in Black Rock's long position.| Imugene vs. Westpac Banking | Imugene vs. Hutchison Telecommunications | Imugene vs. Kkr Credit Income | Imugene vs. Autosports Group |
| Black Rock vs. Northern Star Resources | Black Rock vs. Evolution Mining | Black Rock vs. Bluescope Steel | Black Rock vs. Sandfire Resources NL |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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