Correlation Between Eli Lilly and Immatics

Can any of the company-specific risk be diversified away by investing in both Eli Lilly and Immatics 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 Immatics 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 Immatics NV, you can compare the effects of market volatilities on Eli Lilly and Immatics 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 Immatics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eli Lilly and Immatics.

Diversification Opportunities for Eli Lilly and Immatics

0.79

Correlation Coefficient

Eli Lilly  Immatics

Poor diversification

The 3 months correlation between Eli and Immatics is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and Immatics NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immatics NV 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 Immatics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immatics NV has no effect on the direction of Eli Lilly i.e., Eli Lilly and Immatics go up and down completely randomly.

Pair Corralation between Eli Lilly and Immatics

Considering the 90-day investment horizon Eli Lilly and is expected to generate 0.65 times more return on investment than Immatics. However, Eli Lilly and is 1.54 times less risky than Immatics. It trades about -0.13 of its potential returns per unit of risk. Immatics NV is currently generating about -0.27 per unit of risk. If you would invest  91,353  in Eli Lilly and on September 19, 2024 and sell it today you would lose (13,491) from holding Eli Lilly and or give up 14.77% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Eli Lilly and  vs.  Immatics NV

Eli Lilly

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Eli Lilly and has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of sluggish performance in the last few months, the Stock's essential indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Immatics NV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Immatics NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with Eli Lilly and Immatics

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

The idea behind Eli Lilly and and Immatics NV 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.

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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.