Correlation Between GlaxoSmithKline PLC and Driehaus Micro
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Driehaus Micro 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 Driehaus Micro 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 Driehaus Micro Cap, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Driehaus Micro 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 Driehaus Micro. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Driehaus Micro.
Diversification Opportunities for GlaxoSmithKline PLC and Driehaus Micro
-0.87 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and Driehaus is -0.87. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Driehaus Micro Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Driehaus Micro Cap 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 Driehaus Micro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Driehaus Micro Cap has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Driehaus Micro go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Driehaus Micro
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Driehaus Micro. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.42 times less risky than Driehaus Micro. The stock trades about -0.32 of its potential returns per unit of risk. The Driehaus Micro Cap is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 1,399 in Driehaus Micro Cap on August 25, 2024 and sell it today you would earn a total of 153.00 from holding Driehaus Micro Cap or generate 10.94% 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. Driehaus Micro Cap
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Driehaus Micro Cap |
GlaxoSmithKline PLC and Driehaus Micro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Driehaus Micro
The main advantage of trading using opposite GlaxoSmithKline PLC and Driehaus Micro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Driehaus Micro 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 Driehaus Micro will offset losses from the drop in Driehaus Micro'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 |
| Driehaus Micro vs. Driehaus Emerging Markets | Driehaus Micro vs. Driehaus Small Cap | Driehaus Micro vs. Driehaus Emerging Markets | Driehaus Micro vs. Driehaus Emerging Markets |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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