Correlation Between GlaxoSmithKline PLC and Dodge Cox
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Dodge Cox 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 Dodge Cox 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 Dodge Cox Global, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Dodge Cox 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 Dodge Cox. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Dodge Cox.
Diversification Opportunities for GlaxoSmithKline PLC and Dodge Cox
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and Dodge is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Dodge Cox Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dodge Cox Global 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 Dodge Cox. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dodge Cox Global has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Dodge Cox go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Dodge Cox
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Dodge Cox. In addition to that, GlaxoSmithKline PLC is 4.8 times more volatile than Dodge Cox Global. It trades about -0.23 of its total potential returns per unit of risk. Dodge Cox Global is currently generating about -0.21 per unit of volatility. If you would invest 1,127 in Dodge Cox Global on August 30, 2024 and sell it today you would lose (33.00) from holding Dodge Cox Global or give up 2.93% 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. Dodge Cox Global
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Dodge Cox Global |
GlaxoSmithKline PLC and Dodge Cox Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Dodge Cox
The main advantage of trading using opposite GlaxoSmithKline PLC and Dodge Cox positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Dodge Cox 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 Dodge Cox will offset losses from the drop in Dodge Cox'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 |
| Dodge Cox vs. Lord Abbett High | Dodge Cox vs. Ppm High Yield | Dodge Cox vs. Virtus High Yield | Dodge Cox vs. Pace High Yield |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
Other Complementary Tools
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas |