Correlation Between GlaxoSmithKline PLC and Integragen
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Integragen 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 Integragen 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 Integragen, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Integragen 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 Integragen. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Integragen.
Diversification Opportunities for GlaxoSmithKline PLC and Integragen
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and Integragen is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Integragen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Integragen 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 Integragen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Integragen has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Integragen go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Integragen
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to generate 0.36 times more return on investment than Integragen. However, GlaxoSmithKline PLC ADR is 2.75 times less risky than Integragen. It trades about -0.31 of its potential returns per unit of risk. Integragen is currently generating about -0.18 per unit of risk. If you would invest 3,745 in GlaxoSmithKline PLC ADR on August 29, 2024 and sell it today you would lose (343.00) from holding GlaxoSmithKline PLC ADR or give up 9.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Integragen
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Integragen |
GlaxoSmithKline PLC and Integragen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Integragen
The main advantage of trading using opposite GlaxoSmithKline PLC and Integragen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Integragen 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 Integragen will offset losses from the drop in Integragen'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 |
| Integragen vs. Biomerieux SA | Integragen vs. Eurofins Scientific SE | Integragen vs. Sartorius Stedim Biotech | Integragen vs. SEB SA |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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