Correlation Between Agenus and Bionomics

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

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

Diversification Opportunities for Agenus and Bionomics

0.69

Correlation Coefficient

Agenus  Bionomics

Poor diversification

The 3 months correlation between Agenus and Bionomics is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Agenus Inc and Bionomics Ltd ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bionomics ADR and Agenus 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 Agenus Inc are associated (or correlated) with Bionomics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bionomics ADR has no effect on the direction of Agenus i.e., Agenus and Bionomics go up and down completely randomly.

Pair Corralation between Agenus and Bionomics

Given the investment horizon of 90 days Agenus Inc is expected to under-perform the Bionomics. But the stock apears to be less risky and, when comparing its historical volatility, Agenus Inc is 4.49 times less risky than Bionomics. The stock trades about -0.08 of its potential returns per unit of risk. The Bionomics Ltd ADR is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  63.00  in Bionomics Ltd ADR on August 31, 2024 and sell it today you would lose (33.00) from holding Bionomics Ltd ADR or give up 52.38% of portfolio value over 90 days.

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

Agenus Inc  vs.  Bionomics Ltd ADR

Agenus Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Agenus Inc 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 technical and fundamental indicators remain very healthy which may send shares a bit higher in December 2024. The recent disarray may also be a sign of long period up-swing for the firm investors.

Bionomics ADR

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Bionomics Ltd ADR are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, Bionomics showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Agenus and Bionomics

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

The idea behind Agenus Inc and Bionomics Ltd ADR 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.