Correlation Between Eli Lilly and Mersana Therapeutics
Can any of the company-specific risk be diversified away by investing in both Eli Lilly and Mersana Therapeutics 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 Mersana Therapeutics 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 Mersana Therapeutics, you can compare the effects of market volatilities on Eli Lilly and Mersana Therapeutics 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 Mersana Therapeutics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eli Lilly and Mersana Therapeutics.
Diversification Opportunities for Eli Lilly and Mersana Therapeutics
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Eli and Mersana is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and Mersana Therapeutics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mersana Therapeutics 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 Mersana Therapeutics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mersana Therapeutics has no effect on the direction of Eli Lilly i.e., Eli Lilly and Mersana Therapeutics go up and down completely randomly.
Pair Corralation between Eli Lilly and Mersana Therapeutics
Considering the 90-day investment horizon Eli Lilly and is expected to under-perform the Mersana Therapeutics. But the stock apears to be less risky and, when comparing its historical volatility, Eli Lilly and is 3.48 times less risky than Mersana Therapeutics. The stock trades about -0.14 of its potential returns per unit of risk. The Mersana Therapeutics is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 145.00 in Mersana Therapeutics on September 2, 2024 and sell it today you would earn a total of 83.00 from holding Mersana Therapeutics or generate 57.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eli Lilly and vs. Mersana Therapeutics
Performance |
| Timeline |
| Eli Lilly |
| Mersana Therapeutics |
Eli Lilly and Mersana Therapeutics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eli Lilly and Mersana Therapeutics
The main advantage of trading using opposite Eli Lilly and Mersana Therapeutics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eli Lilly position performs unexpectedly, Mersana Therapeutics 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 Mersana Therapeutics will offset losses from the drop in Mersana Therapeutics' long position.| Eli Lilly vs. Johnson Johnson | Eli Lilly vs. Bristol Myers Squibb | Eli Lilly vs. AbbVie Inc | Eli Lilly vs. Pfizer Inc |
| Mersana Therapeutics vs. Terns Pharmaceuticals | Mersana Therapeutics vs. Amylyx Pharmaceuticals | Mersana Therapeutics vs. Acumen Pharmaceuticals | Mersana Therapeutics vs. Inozyme Pharma |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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