Correlation Between GlaxoSmithKline PLC and Causeway Global
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Causeway Global 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 Causeway Global 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 Causeway Global Value, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Causeway Global 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 Causeway Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Causeway Global.
Diversification Opportunities for GlaxoSmithKline PLC and Causeway Global
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between GlaxoSmithKline and Causeway is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Causeway Global Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Causeway Global Value 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 Causeway Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Causeway Global Value has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Causeway Global go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Causeway Global
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Causeway Global. In addition to that, GlaxoSmithKline PLC is 2.21 times more volatile than Causeway Global Value. It trades about -0.28 of its total potential returns per unit of risk. Causeway Global Value is currently generating about 0.0 per unit of volatility. If you would invest 1,532 in Causeway Global Value on August 26, 2024 and sell it today you would lose (1.00) from holding Causeway Global Value or give up 0.07% 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. Causeway Global Value
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Causeway Global Value |
GlaxoSmithKline PLC and Causeway Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Causeway Global
The main advantage of trading using opposite GlaxoSmithKline PLC and Causeway Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Causeway Global 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 Causeway Global will offset losses from the drop in Causeway Global'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 |
| Causeway Global vs. Causeway International Small | Causeway Global vs. Causeway Emerging Markets | Causeway Global vs. Causeway Emerging Markets | Causeway Global vs. Causeway International Small |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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