Correlation Between GlaxoSmithKline PLC and Six Circles
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Six Circles 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 Six Circles 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 Six Circles International, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Six Circles 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 Six Circles. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Six Circles.
Diversification Opportunities for GlaxoSmithKline PLC and Six Circles
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and Six is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Six Circles International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Six Circles International 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 Six Circles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Six Circles International has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Six Circles go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Six Circles
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Six Circles. In addition to that, GlaxoSmithKline PLC is 1.42 times more volatile than Six Circles International. It trades about -0.23 of its total potential returns per unit of risk. Six Circles International is currently generating about -0.16 per unit of volatility. If you would invest 1,146 in Six Circles International on September 1, 2024 and sell it today you would lose (35.00) from holding Six Circles International or give up 3.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Six Circles International
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Six Circles International |
GlaxoSmithKline PLC and Six Circles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Six Circles
The main advantage of trading using opposite GlaxoSmithKline PLC and Six Circles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Six Circles 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 Six Circles will offset losses from the drop in Six Circles' 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 |
| Six Circles vs. Columbia Vertible Securities | Six Circles vs. Harbor Vertible Securities | Six Circles vs. Absolute Convertible Arbitrage | Six Circles vs. Advent Claymore Convertible |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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