Correlation Between GlaxoSmithKline PLC and Calvert Moderate
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Calvert Moderate 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 Calvert Moderate 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 Calvert Moderate Allocation, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Calvert Moderate 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 Calvert Moderate. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Calvert Moderate.
Diversification Opportunities for GlaxoSmithKline PLC and Calvert Moderate
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between GlaxoSmithKline and Calvert is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Calvert Moderate Allocation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calvert Moderate All 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 Calvert Moderate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calvert Moderate All has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Calvert Moderate go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Calvert Moderate
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 2.45 times less return on investment than Calvert Moderate. In addition to that, GlaxoSmithKline PLC is 2.23 times more volatile than Calvert Moderate Allocation. It trades about 0.01 of its total potential returns per unit of risk. Calvert Moderate Allocation is currently generating about 0.06 per unit of volatility. If you would invest 1,798 in Calvert Moderate Allocation on August 30, 2024 and sell it today you would earn a total of 324.00 from holding Calvert Moderate Allocation or generate 18.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.8% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Calvert Moderate Allocation
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Calvert Moderate All |
GlaxoSmithKline PLC and Calvert Moderate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Calvert Moderate
The main advantage of trading using opposite GlaxoSmithKline PLC and Calvert Moderate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Calvert Moderate 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 Calvert Moderate will offset losses from the drop in Calvert Moderate'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 |
| Calvert Moderate vs. Calvert Developed Market | Calvert Moderate vs. Calvert Short Duration | Calvert Moderate vs. Calvert International Responsible | Calvert Moderate vs. Calvert Short Duration |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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