Correlation Between GlaxoSmithKline PLC and EPR Properties
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and EPR Properties 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 EPR Properties 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 EPR Properties, you can compare the effects of market volatilities on GlaxoSmithKline PLC and EPR Properties 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 EPR Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and EPR Properties.
Diversification Opportunities for GlaxoSmithKline PLC and EPR Properties
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and EPR is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and EPR Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EPR Properties 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 EPR Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EPR Properties has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and EPR Properties go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and EPR Properties
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the EPR Properties. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.03 times less risky than EPR Properties. The stock trades about -0.23 of its potential returns per unit of risk. The EPR Properties is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 4,726 in EPR Properties on August 31, 2024 and sell it today you would lose (148.00) from holding EPR Properties or give up 3.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. EPR Properties
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| EPR Properties |
GlaxoSmithKline PLC and EPR Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and EPR Properties
The main advantage of trading using opposite GlaxoSmithKline PLC and EPR Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, EPR Properties 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 EPR Properties will offset losses from the drop in EPR Properties' 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 |
| EPR Properties vs. Equinix | EPR Properties vs. Crown Castle | EPR Properties vs. American Tower Corp | EPR Properties vs. Iron Mountain Incorporated |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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