Correlation Between Elanco Animal and Immutep

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

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

Diversification Opportunities for Elanco Animal and Immutep

0.77

Correlation Coefficient

Elanco Animal  Immutep

Poor diversification

The 3 months correlation between Elanco and Immutep is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Elanco Animal Health and Immutep Ltd ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immutep Ltd ADR and Elanco Animal 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 Elanco Animal Health are associated (or correlated) with Immutep. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immutep Ltd ADR has no effect on the direction of Elanco Animal i.e., Elanco Animal and Immutep go up and down completely randomly.

Pair Corralation between Elanco Animal and Immutep

Given the investment horizon of 90 days Elanco Animal Health is expected to under-perform the Immutep. But the stock apears to be less risky and, when comparing its historical volatility, Elanco Animal Health is 1.05 times less risky than Immutep. The stock trades about -0.08 of its potential returns per unit of risk. The Immutep Ltd ADR is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  208.00  in Immutep Ltd ADR on December 29, 2024 and sell it today you would lose (22.00) from holding Immutep Ltd ADR or give up 10.58% of portfolio value over 90 days.

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

Elanco Animal Health  vs.  Immutep Ltd ADR

Elanco Animal Health

Risk-Adjusted Performance

Very Weak

Over the last 90 days Elanco Animal Health has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's basic indicators remain healthy and the recent disarray on Wall Street may also be a sign of long period gains for the firm investors.

Immutep Ltd ADR

Risk-Adjusted Performance

Very Weak

Over the last 90 days Immutep Ltd ADR has generated negative risk-adjusted returns adding no value to investors with long positions. Even with latest weak performance, the Stock's primary indicators remain invariable and the latest agitation on Wall Street may also be a sign of long-running gains for the enterprise retail investors.

Pair Trading with Elanco Animal and Immutep

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

The idea behind Elanco Animal Health and Immutep 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.

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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.