Correlation Between GlaxoSmithKline PLC and Dreyfus Gnma
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Dreyfus Gnma 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 Dreyfus Gnma 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 Dreyfus Gnma Fund, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Dreyfus Gnma 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 Dreyfus Gnma. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Dreyfus Gnma.
Diversification Opportunities for GlaxoSmithKline PLC and Dreyfus Gnma
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and Dreyfus is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Dreyfus Gnma Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus Gnma 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 Dreyfus Gnma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus Gnma has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Dreyfus Gnma go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Dreyfus Gnma
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Dreyfus Gnma. In addition to that, GlaxoSmithKline PLC is 4.81 times more volatile than Dreyfus Gnma Fund. It trades about -0.32 of its total potential returns per unit of risk. Dreyfus Gnma Fund is currently generating about -0.07 per unit of volatility. If you would invest 1,277 in Dreyfus Gnma Fund on August 25, 2024 and sell it today you would lose (6.00) from holding Dreyfus Gnma Fund or give up 0.47% 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. Dreyfus Gnma Fund
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Dreyfus Gnma |
GlaxoSmithKline PLC and Dreyfus Gnma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Dreyfus Gnma
The main advantage of trading using opposite GlaxoSmithKline PLC and Dreyfus Gnma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Dreyfus Gnma 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 Dreyfus Gnma will offset losses from the drop in Dreyfus Gnma'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 |
| Dreyfus Gnma vs. Dreyfusstandish Global Fixed | Dreyfus Gnma vs. Dreyfusstandish Global Fixed | Dreyfus Gnma vs. Dreyfus High Yield | Dreyfus Gnma vs. Dreyfus 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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