Correlation Between ImmunoGen and Exelixis

Can any of the company-specific risk be diversified away by investing in both ImmunoGen and Exelixis 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 ImmunoGen and Exelixis into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ImmunoGen and Exelixis, you can compare the effects of market volatilities on ImmunoGen and Exelixis 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 ImmunoGen with a short position of Exelixis. Check out your portfolio center. Please also check ongoing floating volatility patterns of ImmunoGen and Exelixis.

Diversification Opportunities for ImmunoGen and Exelixis

0.81

Correlation Coefficient

ImmunoGen  Exelixis

Very poor diversification

The 3 months correlation between ImmunoGen and Exelixis is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding ImmunoGen and Exelixis in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Exelixis and ImmunoGen 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 ImmunoGen are associated (or correlated) with Exelixis. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exelixis has no effect on the direction of ImmunoGen i.e., ImmunoGen and Exelixis go up and down completely randomly.

Pair Corralation between ImmunoGen and Exelixis

If you would invest  2,596  in Exelixis on September 27, 2024 and sell it today you would earn a total of  786.00  from holding Exelixis or generate 30.28% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	1.56%
Values	Daily Returns

ImmunoGen  vs.  Exelixis

ImmunoGen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ImmunoGen has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy technical and fundamental indicators, ImmunoGen is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

Exelixis

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Exelixis are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite quite weak technical and fundamental indicators, Exelixis disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with ImmunoGen and Exelixis

The main advantage of trading using opposite ImmunoGen and Exelixis positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ImmunoGen position performs unexpectedly, Exelixis 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 Exelixis will offset losses from the drop in Exelixis' long position.

The idea behind ImmunoGen and Exelixis pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Equity Valuation module to check real value of public entities based on technical and fundamental data.