Correlation Between GlaxoSmithKline PLC and Parametric Intl
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Parametric Intl 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 Parametric Intl 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 Parametric Intl Equity, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Parametric Intl 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 Parametric Intl. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Parametric Intl.
Diversification Opportunities for GlaxoSmithKline PLC and Parametric Intl
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and Parametric is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Parametric Intl Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric Intl Equity 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 Parametric Intl. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric Intl Equity has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Parametric Intl go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Parametric Intl
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 24.13 times less return on investment than Parametric Intl. In addition to that, GlaxoSmithKline PLC is 1.67 times more volatile than Parametric Intl Equity. It trades about 0.0 of its total potential returns per unit of risk. Parametric Intl Equity is currently generating about 0.05 per unit of volatility. If you would invest 1,219 in Parametric Intl Equity on August 27, 2024 and sell it today you would earn a total of 219.00 from holding Parametric Intl Equity or generate 17.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Parametric Intl Equity
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Parametric Intl Equity |
GlaxoSmithKline PLC and Parametric Intl Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Parametric Intl
The main advantage of trading using opposite GlaxoSmithKline PLC and Parametric Intl positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Parametric Intl 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 Parametric Intl will offset losses from the drop in Parametric Intl'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 |
| Parametric Intl vs. Global Technology Portfolio | Parametric Intl vs. Fidelity Advisor Technology | Parametric Intl vs. Firsthand Technology Opportunities | Parametric Intl vs. Technology Ultrasector Profund |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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