Correlation Between GlaxoSmithKline PLC and Ossiam Shiller
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Ossiam Shiller 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 Ossiam Shiller 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 Ossiam Shiller Barclays, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Ossiam Shiller 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 Ossiam Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Ossiam Shiller.
Diversification Opportunities for GlaxoSmithKline PLC and Ossiam Shiller
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between GlaxoSmithKline and Ossiam is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Ossiam Shiller Barclays in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ossiam Shiller Barclays 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 Ossiam Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ossiam Shiller Barclays has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Ossiam Shiller go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Ossiam Shiller
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Ossiam Shiller. In addition to that, GlaxoSmithKline PLC is 1.49 times more volatile than Ossiam Shiller Barclays. It trades about -0.23 of its total potential returns per unit of risk. Ossiam Shiller Barclays is currently generating about -0.15 per unit of volatility. If you would invest 52,035 in Ossiam Shiller Barclays on August 31, 2024 and sell it today you would lose (1,505) from holding Ossiam Shiller Barclays or give up 2.89% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Ossiam Shiller Barclays
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Ossiam Shiller Barclays |
GlaxoSmithKline PLC and Ossiam Shiller Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Ossiam Shiller
The main advantage of trading using opposite GlaxoSmithKline PLC and Ossiam Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Ossiam Shiller 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 Ossiam Shiller will offset losses from the drop in Ossiam Shiller'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 |
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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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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