Correlation Between Alcoa Corp and Immutep

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

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

Diversification Opportunities for Alcoa Corp and Immutep

0.46

Correlation Coefficient

Alcoa Corp  Immutep

Very weak diversification

The 3 months correlation between Alcoa and Immutep is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp 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 Alcoa Corp 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 Alcoa Corp 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 Alcoa Corp i.e., Alcoa Corp and Immutep go up and down completely randomly.

Pair Corralation between Alcoa Corp and Immutep

Allowing for the 90-day total investment horizon Alcoa Corp is expected to generate 2.73 times less return on investment than Immutep. But when comparing it to its historical volatility, Alcoa Corp is 1.45 times less risky than Immutep. It trades about 0.07 of its potential returns per unit of risk. Immutep Ltd ADR is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  245.00  in Immutep Ltd ADR on February 1, 2024 and sell it today you would earn a total of  24.00  from holding Immutep Ltd ADR or generate 9.8% return on investment over 90 days.

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

Alcoa Corp  vs.  Immutep Ltd ADR

Alcoa Corp

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Alcoa Corp are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Alcoa Corp sustained solid returns over the last few months and may actually be approaching a breakup point.

Immutep Ltd ADR

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Immutep Ltd ADR are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak primary indicators, Immutep reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Alcoa Corp and Immutep

The main advantage of trading using opposite Alcoa Corp and Immutep positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alcoa Corp 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 Alcoa Corp 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.

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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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.