Correlation Between GlaxoSmithKline PLC and AudioCodes
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and AudioCodes 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 AudioCodes 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 AudioCodes, you can compare the effects of market volatilities on GlaxoSmithKline PLC and AudioCodes 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 AudioCodes. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and AudioCodes.
Diversification Opportunities for GlaxoSmithKline PLC and AudioCodes
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between GlaxoSmithKline and AudioCodes is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and AudioCodes in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AudioCodes 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 AudioCodes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AudioCodes has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and AudioCodes go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and AudioCodes
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the AudioCodes. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 2.58 times less risky than AudioCodes. The stock trades about -0.31 of its potential returns per unit of risk. The AudioCodes is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 352,800 in AudioCodes on August 29, 2024 and sell it today you would lose (14,600) from holding AudioCodes or give up 4.14% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 81.82% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. AudioCodes
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| AudioCodes |
GlaxoSmithKline PLC and AudioCodes Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and AudioCodes
The main advantage of trading using opposite GlaxoSmithKline PLC and AudioCodes positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, AudioCodes 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 AudioCodes will offset losses from the drop in AudioCodes' 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 |
| AudioCodes vs. Nice | AudioCodes vs. Tower Semiconductor | AudioCodes vs. Elbit Systems | AudioCodes vs. Nova |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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