Correlation Between Eli Lilly and Compugen
Can any of the company-specific risk be diversified away by investing in both Eli Lilly and Compugen 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 Eli Lilly and Compugen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eli Lilly and and Compugen, you can compare the effects of market volatilities on Eli Lilly and Compugen 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 Eli Lilly with a short position of Compugen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eli Lilly and Compugen.
Diversification Opportunities for Eli Lilly and Compugen
Very poor diversification
The 3 months correlation between Eli and Compugen is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and Compugen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Compugen and Eli Lilly 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 Eli Lilly and are associated (or correlated) with Compugen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Compugen has no effect on the direction of Eli Lilly i.e., Eli Lilly and Compugen go up and down completely randomly.
Pair Corralation between Eli Lilly and Compugen
Considering the 90-day investment horizon Eli Lilly and is expected to under-perform the Compugen. But the stock apears to be less risky and, when comparing its historical volatility, Eli Lilly and is 1.54 times less risky than Compugen. The stock trades about -0.19 of its potential returns per unit of risk. The Compugen is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 169.00 in Compugen on August 29, 2024 and sell it today you would lose (8.00) from holding Compugen or give up 4.73% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eli Lilly and vs. Compugen
Performance |
| Timeline |
| Eli Lilly |
| Compugen |
Eli Lilly and Compugen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eli Lilly and Compugen
The main advantage of trading using opposite Eli Lilly and Compugen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eli Lilly position performs unexpectedly, Compugen 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 Compugen will offset losses from the drop in Compugen's long position.| Eli Lilly vs. Johnson Johnson | Eli Lilly vs. Bristol Myers Squibb | Eli Lilly vs. AbbVie Inc | Eli Lilly vs. Pfizer Inc |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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