Correlation Between GlaxoSmithKline PLC and Calamos Market
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Calamos Market 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 Calamos Market 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 Calamos Market Neutral, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Calamos Market 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 Calamos Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Calamos Market.
Diversification Opportunities for GlaxoSmithKline PLC and Calamos Market
-0.93 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and Calamos is -0.93. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Calamos Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Calamos Market Neutral 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 Calamos Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Calamos Market Neutral has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Calamos Market go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Calamos Market
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Calamos Market. In addition to that, GlaxoSmithKline PLC is 17.24 times more volatile than Calamos Market Neutral. It trades about -0.26 of its total potential returns per unit of risk. Calamos Market Neutral is currently generating about 0.25 per unit of volatility. If you would invest 1,507 in Calamos Market Neutral on August 25, 2024 and sell it today you would earn a total of 15.00 from holding Calamos Market Neutral or generate 1.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Calamos Market Neutral
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Calamos Market Neutral |
GlaxoSmithKline PLC and Calamos Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Calamos Market
The main advantage of trading using opposite GlaxoSmithKline PLC and Calamos Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Calamos Market 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 Calamos Market will offset losses from the drop in Calamos Market'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 |
| Calamos Market vs. The Arbitrage Fund | Calamos Market vs. The Merger Fund | Calamos Market vs. Gateway Fund Class | Calamos Market vs. Diamond Hill Long Short |
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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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