Correlation Between GlaxoSmithKline PLC and Frost Total
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Frost Total 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 Frost Total 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 Frost Total Return, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Frost Total 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 Frost Total. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Frost Total.
Diversification Opportunities for GlaxoSmithKline PLC and Frost Total
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and FROST is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Frost Total Return in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Frost Total Return 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 Frost Total. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Frost Total Return has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Frost Total go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Frost Total
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Frost Total. In addition to that, GlaxoSmithKline PLC is 4.34 times more volatile than Frost Total Return. It trades about -0.23 of its total potential returns per unit of risk. Frost Total Return is currently generating about 0.08 per unit of volatility. If you would invest 979.00 in Frost Total Return on September 1, 2024 and sell it today you would earn a total of 5.00 from holding Frost Total Return or generate 0.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Frost Total Return
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Frost Total Return |
GlaxoSmithKline PLC and Frost Total Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Frost Total
The main advantage of trading using opposite GlaxoSmithKline PLC and Frost Total positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Frost Total 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 Frost Total will offset losses from the drop in Frost Total'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 |
| Frost Total vs. Baird Intermediate Bond | Frost Total vs. Kopernik Global All Cap | Frost Total vs. Invesco Real Estate | Frost Total vs. Oppenheimer Steelpath Mlp |
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.
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