Correlation Between GlaxoSmithKline PLC and EMS CHEMIE
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and EMS CHEMIE 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 EMS CHEMIE 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 EMS CHEMIE HOLDING AG, you can compare the effects of market volatilities on GlaxoSmithKline PLC and EMS CHEMIE 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 EMS CHEMIE. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and EMS CHEMIE.
Diversification Opportunities for GlaxoSmithKline PLC and EMS CHEMIE
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and EMS is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and EMS CHEMIE HOLDING AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EMS CHEMIE HOLDING 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 EMS CHEMIE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EMS CHEMIE HOLDING has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and EMS CHEMIE go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and EMS CHEMIE
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the EMS CHEMIE. In addition to that, GlaxoSmithKline PLC is 1.18 times more volatile than EMS CHEMIE HOLDING AG. It trades about 0.0 of its total potential returns per unit of risk. EMS CHEMIE HOLDING AG is currently generating about 0.01 per unit of volatility. If you would invest 61,765 in EMS CHEMIE HOLDING AG on August 29, 2024 and sell it today you would earn a total of 1,035 from holding EMS CHEMIE HOLDING AG or generate 1.68% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.2% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. EMS CHEMIE HOLDING AG
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| EMS CHEMIE HOLDING |
GlaxoSmithKline PLC and EMS CHEMIE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and EMS CHEMIE
The main advantage of trading using opposite GlaxoSmithKline PLC and EMS CHEMIE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, EMS CHEMIE 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 EMS CHEMIE will offset losses from the drop in EMS CHEMIE'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 |
| EMS CHEMIE vs. Glarner Kantonalbank | EMS CHEMIE vs. Hypothekarbank Lenzburg AG | EMS CHEMIE vs. Liechtensteinische Landesbank AG | EMS CHEMIE vs. Graubuendner Kantonalbank |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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