Correlation Between GlaxoSmithKline PLC and ASM International
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and ASM International 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 ASM International 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 ASM International NV, you can compare the effects of market volatilities on GlaxoSmithKline PLC and ASM International 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 ASM International. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and ASM International.
Diversification Opportunities for GlaxoSmithKline PLC and ASM International
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and ASM is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and ASM International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASM International 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 ASM International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASM International has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and ASM International go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and ASM International
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to generate 0.67 times more return on investment than ASM International. However, GlaxoSmithKline PLC ADR is 1.5 times less risky than ASM International. It trades about -0.24 of its potential returns per unit of risk. ASM International NV is currently generating about -0.24 per unit of risk. If you would invest 3,659 in GlaxoSmithKline PLC ADR on August 31, 2024 and sell it today you would lose (246.00) from holding GlaxoSmithKline PLC ADR or give up 6.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. ASM International NV
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| ASM International |
GlaxoSmithKline PLC and ASM International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and ASM International
The main advantage of trading using opposite GlaxoSmithKline PLC and ASM International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, ASM International 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 ASM International will offset losses from the drop in ASM International'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 |
| ASM International vs. Lasertec | ASM International vs. Tokyo Electron | ASM International vs. Tokyo Electron Ltd | ASM International vs. BE Semiconductor Industries |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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