Correlation Between GlaxoSmithKline PLC and Lyxor CAC
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Lyxor CAC 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 CAC 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 CAC 40, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Lyxor CAC 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 CAC. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Lyxor CAC.
Diversification Opportunities for GlaxoSmithKline PLC and Lyxor CAC
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between GlaxoSmithKline and Lyxor is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Lyxor CAC 40 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lyxor CAC 40 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 CAC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lyxor CAC 40 has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Lyxor CAC go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Lyxor CAC
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 21.0 times less return on investment than Lyxor CAC. In addition to that, GlaxoSmithKline PLC is 1.46 times more volatile than Lyxor CAC 40. It trades about 0.0 of its total potential returns per unit of risk. Lyxor CAC 40 is currently generating about 0.04 per unit of volatility. If you would invest 3,023 in Lyxor CAC 40 on August 27, 2024 and sell it today you would earn a total of 455.00 from holding Lyxor CAC 40 or generate 15.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 98.22% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Lyxor CAC 40
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Lyxor CAC 40 |
GlaxoSmithKline PLC and Lyxor CAC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Lyxor CAC
The main advantage of trading using opposite GlaxoSmithKline PLC and Lyxor CAC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Lyxor CAC 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 CAC will offset losses from the drop in Lyxor CAC'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 CAC vs. Lyxor UCITS Japan | Lyxor CAC vs. Lyxor UCITS Stoxx | Lyxor CAC vs. Xtrackers MSCI Europe | Lyxor CAC vs. SPDR SP 500 |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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