Correlation Between GlaxoSmithKline PLC and Bourse Direct
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Bourse Direct 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 Bourse Direct 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 Bourse Direct SA, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Bourse Direct 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 Bourse Direct. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Bourse Direct.
Diversification Opportunities for GlaxoSmithKline PLC and Bourse Direct
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between GlaxoSmithKline and Bourse is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Bourse Direct SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bourse Direct SA 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 Bourse Direct. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bourse Direct SA has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Bourse Direct go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Bourse Direct
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to generate 0.72 times more return on investment than Bourse Direct. However, GlaxoSmithKline PLC ADR is 1.39 times less risky than Bourse Direct. It trades about 0.0 of its potential returns per unit of risk. Bourse Direct SA is currently generating about -0.04 per unit of risk. If you would invest 3,462 in GlaxoSmithKline PLC ADR on August 26, 2024 and sell it today you would lose (92.00) from holding GlaxoSmithKline PLC ADR or give up 2.66% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 98.81% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Bourse Direct SA
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Bourse Direct SA |
GlaxoSmithKline PLC and Bourse Direct Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Bourse Direct
The main advantage of trading using opposite GlaxoSmithKline PLC and Bourse Direct positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Bourse Direct 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 Bourse Direct will offset losses from the drop in Bourse Direct'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 |
| Bourse Direct vs. Stef SA | Bourse Direct vs. NRJ Group | Bourse Direct vs. Savencia SA | Bourse Direct vs. ABC arbitrage 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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