Correlation Between GlaxoSmithKline PLC and Altus Group
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Altus Group 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 Altus Group 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 Altus Group Limited, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Altus Group 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 Altus Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Altus Group.
Diversification Opportunities for GlaxoSmithKline PLC and Altus Group
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between GlaxoSmithKline and Altus is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Altus Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Altus Group Limited 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 Altus Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Altus Group Limited has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Altus Group go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Altus Group
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 5.68 times less return on investment than Altus Group. But when comparing it to its historical volatility, GlaxoSmithKline PLC ADR is 1.63 times less risky than Altus Group. It trades about 0.02 of its potential returns per unit of risk. Altus Group Limited is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 4,304 in Altus Group Limited on August 28, 2024 and sell it today you would earn a total of 1,658 from holding Altus Group Limited or generate 38.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.44% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Altus Group Limited
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Altus Group Limited |
GlaxoSmithKline PLC and Altus Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Altus Group
The main advantage of trading using opposite GlaxoSmithKline PLC and Altus Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Altus Group 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 Altus Group will offset losses from the drop in Altus Group'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 |
| Altus Group vs. Colliers International Group | Altus Group vs. FirstService Corp | Altus Group vs. Winpak | Altus Group vs. Ritchie Bros Auctioneers |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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