Correlation Between GlaxoSmithKline PLC and Lyxor BEL
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Lyxor BEL 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 Lyxor BEL 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 Lyxor BEL 20, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Lyxor BEL 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 Lyxor BEL. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Lyxor BEL.
Diversification Opportunities for GlaxoSmithKline PLC and Lyxor BEL
-0.05 | Correlation Coefficient |
Good diversification
The 3 months correlation between GlaxoSmithKline and Lyxor is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Lyxor BEL 20 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor BEL 20 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 Lyxor BEL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor BEL 20 has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Lyxor BEL go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Lyxor BEL
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Lyxor BEL. In addition to that, GlaxoSmithKline PLC is 2.07 times more volatile than Lyxor BEL 20. It trades about -0.23 of its total potential returns per unit of risk. Lyxor BEL 20 is currently generating about -0.06 per unit of volatility. If you would invest 6,407 in Lyxor BEL 20 on August 30, 2024 and sell it today you would lose (128.00) from holding Lyxor BEL 20 or give up 2.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Lyxor BEL 20
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Lyxor BEL 20 |
GlaxoSmithKline PLC and Lyxor BEL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Lyxor BEL
The main advantage of trading using opposite GlaxoSmithKline PLC and Lyxor BEL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Lyxor BEL 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 Lyxor BEL will offset losses from the drop in Lyxor BEL'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 |
| Lyxor BEL vs. iShares II Public | Lyxor BEL vs. VanEck AEX UCITS | Lyxor BEL vs. Amundi Index Solutions | Lyxor BEL vs. Ackermans Van Haaren |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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