Correlation Between GlaxoSmithKline PLC and Aspen Insurance
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Aspen Insurance 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 Aspen Insurance 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 Aspen Insurance Holdings, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Aspen Insurance 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 Aspen Insurance. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Aspen Insurance.
Diversification Opportunities for GlaxoSmithKline PLC and Aspen Insurance
-0.32 | Correlation Coefficient |
Very good diversification
The 3 months correlation between GlaxoSmithKline and Aspen is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Aspen Insurance Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aspen Insurance Holdings 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 Aspen Insurance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aspen Insurance Holdings has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Aspen Insurance go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Aspen Insurance
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Aspen Insurance. In addition to that, GlaxoSmithKline PLC is 2.2 times more volatile than Aspen Insurance Holdings. It trades about -0.3 of its total potential returns per unit of risk. Aspen Insurance Holdings is currently generating about -0.22 per unit of volatility. If you would invest 2,620 in Aspen Insurance Holdings on August 28, 2024 and sell it today you would lose (75.00) from holding Aspen Insurance Holdings or give up 2.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Aspen Insurance Holdings
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Aspen Insurance Holdings |
GlaxoSmithKline PLC and Aspen Insurance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Aspen Insurance
The main advantage of trading using opposite GlaxoSmithKline PLC and Aspen Insurance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Aspen Insurance 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 Aspen Insurance will offset losses from the drop in Aspen Insurance'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 |
| Aspen Insurance vs. The Allstate | Aspen Insurance vs. Aspen Insurance Holdings | Aspen Insurance vs. AmTrust Financial Services | Aspen Insurance vs. Argo Group International |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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