Correlation Between GlaxoSmithKline PLC and AmTrust Financial
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and AmTrust Financial 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 GlaxoSmithKline PLC and AmTrust Financial into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GlaxoSmithKline PLC ADR and AmTrust Financial Services, you can compare the effects of market volatilities on GlaxoSmithKline PLC and AmTrust Financial 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 GlaxoSmithKline PLC with a short position of AmTrust Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and AmTrust Financial.
Diversification Opportunities for GlaxoSmithKline PLC and AmTrust Financial
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and AmTrust is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and AmTrust Financial Services in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AmTrust Financial and GlaxoSmithKline PLC 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 GlaxoSmithKline PLC ADR are associated (or correlated) with AmTrust Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AmTrust Financial has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and AmTrust Financial go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and AmTrust Financial
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the AmTrust Financial. In addition to that, GlaxoSmithKline PLC is 1.36 times more volatile than AmTrust Financial Services. It trades about -0.23 of its total potential returns per unit of risk. AmTrust Financial Services is currently generating about 0.09 per unit of volatility. If you would invest 1,362 in AmTrust Financial Services on September 1, 2024 and sell it today you would earn a total of 24.00 from holding AmTrust Financial Services or generate 1.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. AmTrust Financial Services
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| AmTrust Financial |
GlaxoSmithKline PLC and AmTrust Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and AmTrust Financial
The main advantage of trading using opposite GlaxoSmithKline PLC and AmTrust Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, AmTrust Financial 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 AmTrust Financial will offset losses from the drop in AmTrust Financial's long position.| GlaxoSmithKline PLC vs. Novartis AG ADR | GlaxoSmithKline PLC vs. AstraZeneca PLC ADR | GlaxoSmithKline PLC vs. Roche Holding Ltd | GlaxoSmithKline PLC vs. Bristol Myers Squibb |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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