Correlation Between Sarepta Therapeutics and ImmunoGen
Can any of the company-specific risk be diversified away by investing in both Sarepta Therapeutics 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 Sarepta Therapeutics and ImmunoGen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sarepta Therapeutics and ImmunoGen, you can compare the effects of market volatilities on Sarepta Therapeutics 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 Sarepta Therapeutics with a short position of ImmunoGen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sarepta Therapeutics and ImmunoGen.
Diversification Opportunities for Sarepta Therapeutics and ImmunoGen
-0.69 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Sarepta and ImmunoGen is -0.69. Overlapping area represents the amount of risk that can be diversified away by holding Sarepta Therapeutics and ImmunoGen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ImmunoGen and Sarepta Therapeutics 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 Sarepta Therapeutics 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 Sarepta Therapeutics i.e., Sarepta Therapeutics and ImmunoGen go up and down completely randomly.
Pair Corralation between Sarepta Therapeutics and ImmunoGen
Given the investment horizon of 90 days Sarepta Therapeutics is expected to generate 19.08 times less return on investment than ImmunoGen. But when comparing it to its historical volatility, Sarepta Therapeutics is 3.09 times less risky than ImmunoGen. It trades about 0.02 of its potential returns per unit of risk. ImmunoGen is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 521.00 in ImmunoGen on August 28, 2024 and sell it today you would earn a total of 1,299 from holding ImmunoGen or generate 249.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 31.72% |
| Values | Daily Returns |
Sarepta Therapeutics vs. ImmunoGen
Performance |
| Timeline |
| Sarepta Therapeutics |
| ImmunoGen |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Sarepta Therapeutics and ImmunoGen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sarepta Therapeutics and ImmunoGen
The main advantage of trading using opposite Sarepta Therapeutics and ImmunoGen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sarepta Therapeutics 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.| Sarepta Therapeutics vs. Krystal Biotech | Sarepta Therapeutics vs. PTC Therapeutics | Sarepta Therapeutics vs. Iovance Biotherapeutics | Sarepta Therapeutics vs. Madrigal Pharmaceuticals |
| 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Other Complementary Tools
| Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. |