Correlation Between GlaxoSmithKline PLC and Xtrackers International
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Xtrackers International 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 Xtrackers International 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 Xtrackers International Real, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Xtrackers International 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 Xtrackers International. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Xtrackers International.
Diversification Opportunities for GlaxoSmithKline PLC and Xtrackers International
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and Xtrackers is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Xtrackers International Real in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Xtrackers International 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 Xtrackers International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Xtrackers International has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Xtrackers International go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Xtrackers International
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 21.33 times less return on investment than Xtrackers International. In addition to that, GlaxoSmithKline PLC is 1.4 times more volatile than Xtrackers International Real. It trades about 0.0 of its total potential returns per unit of risk. Xtrackers International Real is currently generating about 0.03 per unit of volatility. If you would invest 1,961 in Xtrackers International Real on August 26, 2024 and sell it today you would earn a total of 138.00 from holding Xtrackers International Real or generate 7.04% 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. Xtrackers International Real
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Xtrackers International |
GlaxoSmithKline PLC and Xtrackers International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Xtrackers International
The main advantage of trading using opposite GlaxoSmithKline PLC and Xtrackers International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Xtrackers International 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 Xtrackers International will offset losses from the drop in Xtrackers International'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 |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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