Correlation Between Merck and Immatics
Can any of the company-specific risk be diversified away by investing in both Merck 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 Merck and Immatics into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Merck Company and Immatics NV, you can compare the effects of market volatilities on Merck 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 Merck with a short position of Immatics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Merck and Immatics.
Diversification Opportunities for Merck and Immatics
Almost no diversification
The 3 months correlation between Merck and Immatics is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Merck Company and Immatics NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immatics NV and Merck 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 Merck Company 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 Merck i.e., Merck and Immatics go up and down completely randomly.
Pair Corralation between Merck and Immatics
Considering the 90-day investment horizon Merck Company is expected to generate 0.42 times more return on investment than Immatics. However, Merck Company is 2.4 times less risky than Immatics. It trades about -0.19 of its potential returns per unit of risk. Immatics NV is currently generating about -0.27 per unit of risk. If you would invest 11,630 in Merck Company on September 19, 2024 and sell it today you would lose (1,624) from holding Merck Company or give up 13.96% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Merck Company vs. Immatics NV
Performance |
Timeline |
Merck Company |
Immatics NV |
Merck and Immatics Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Merck and Immatics
The main advantage of trading using opposite Merck and Immatics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merck 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.Merck vs. Emergent Biosolutions | Merck vs. Neurocrine Biosciences | Merck vs. Teva Pharma Industries | Merck vs. Haleon plc |
Immatics vs. Crinetics Pharmaceuticals | Immatics vs. Alx Oncology Holdings | Immatics vs. Bioatla | Immatics vs. Aerovate Therapeutics |
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 CEOs Directory module to screen CEOs from public companies around the world.
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