Correlation Between GlaxoSmithKline PLC and ASML HOLDING
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and ASML HOLDING 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 ASML HOLDING 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 ASML HOLDING NY, you can compare the effects of market volatilities on GlaxoSmithKline PLC and ASML HOLDING 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 ASML HOLDING. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and ASML HOLDING.
Diversification Opportunities for GlaxoSmithKline PLC and ASML HOLDING
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and ASML is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and ASML HOLDING NY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASML HOLDING NY 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 ASML HOLDING. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASML HOLDING NY has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and ASML HOLDING go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and ASML HOLDING
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the ASML HOLDING. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.36 times less risky than ASML HOLDING. The stock trades about -0.31 of its potential returns per unit of risk. The ASML HOLDING NY is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 65,436 in ASML HOLDING NY on August 29, 2024 and sell it today you would lose (1,236) from holding ASML HOLDING NY or give up 1.89% 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. ASML HOLDING NY
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| ASML HOLDING NY |
GlaxoSmithKline PLC and ASML HOLDING Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and ASML HOLDING
The main advantage of trading using opposite GlaxoSmithKline PLC and ASML HOLDING positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, ASML HOLDING 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 ASML HOLDING will offset losses from the drop in ASML HOLDING'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 |
| ASML HOLDING vs. Superior Plus Corp | ASML HOLDING vs. NMI Holdings | ASML HOLDING vs. Origin Agritech | ASML HOLDING vs. SIVERS SEMICONDUCTORS AB |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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