Correlation Between Eli Lilly and I Mab

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

Diversification Opportunities for Eli Lilly and I Mab

0.62

Correlation Coefficient

Eli Lilly  I Mab

Poor diversification

The 3 months correlation between Eli and IMAB is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and I Mab in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on I Mab 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 I Mab. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of I Mab has no effect on the direction of Eli Lilly i.e., Eli Lilly and I Mab go up and down completely randomly.

Pair Corralation between Eli Lilly and I Mab

Considering the 90-day investment horizon Eli Lilly and is expected to under-perform the I Mab. But the stock apears to be less risky and, when comparing its historical volatility, Eli Lilly and is 2.85 times less risky than I Mab. The stock trades about -0.13 of its potential returns per unit of risk. The I Mab is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  106.00  in I Mab on September 14, 2024 and sell it today you would earn a total of  0.00  from holding I Mab or generate 0.0% return on investment over 90 days.

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

Eli Lilly and  vs.  I Mab

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.

I Mab

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in I Mab are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat inconsistent basic indicators, I Mab may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Eli Lilly and I Mab

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

The idea behind Eli Lilly and and I Mab 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..