Correlation Between Protalix Biotherapeutics and ImmunoGen

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

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

Diversification Opportunities for Protalix Biotherapeutics and ImmunoGen

0.59

Correlation Coefficient

Protalix Biotherapeutics  ImmunoGen

Very weak diversification

The 3 months correlation between Protalix and ImmunoGen is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Protalix Biotherapeutics and ImmunoGen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ImmunoGen and Protalix Biotherapeutics 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 Protalix Biotherapeutics are associated (or correlated) with ImmunoGen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ImmunoGen has no effect on the direction of Protalix Biotherapeutics i.e., Protalix Biotherapeutics and ImmunoGen go up and down completely randomly.

Pair Corralation between Protalix Biotherapeutics and ImmunoGen

Considering the 90-day investment horizon Protalix Biotherapeutics is expected to under-perform the ImmunoGen. In addition to that, Protalix Biotherapeutics is 1.43 times more volatile than ImmunoGen. It trades about 0.0 of its total potential returns per unit of risk. ImmunoGen is currently generating about 0.18 per unit of volatility. If you would invest  1,575  in ImmunoGen on August 31, 2024 and sell it today you would earn a total of  245.00  from holding ImmunoGen or generate 15.56% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	8.56%
Values	Daily Returns

Protalix Biotherapeutics  vs.  ImmunoGen

Protalix Biotherapeutics

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Protalix Biotherapeutics are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of fairly uncertain essential indicators, Protalix Biotherapeutics showed solid returns over the last few months and may actually be approaching a breakup point.

ImmunoGen

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ImmunoGen has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy technical and fundamental indicators, ImmunoGen is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Protalix Biotherapeutics and ImmunoGen

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

The idea behind Protalix Biotherapeutics and ImmunoGen 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.