Correlation Between GlaxoSmithKline PLC and Icade SA
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Icade SA 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 Icade SA 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 Icade SA, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Icade SA 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 Icade SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Icade SA.
Diversification Opportunities for GlaxoSmithKline PLC and Icade SA
-0.01 | Correlation Coefficient |
Good diversification
The 3 months correlation between GlaxoSmithKline and Icade is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Icade SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Icade SA 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 Icade SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Icade SA has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Icade SA go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Icade SA
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to generate 0.82 times more return on investment than Icade SA. However, GlaxoSmithKline PLC ADR is 1.22 times less risky than Icade SA. It trades about -0.3 of its potential returns per unit of risk. Icade SA is currently generating about -0.29 per unit of risk. If you would invest 3,745 in GlaxoSmithKline PLC ADR on August 28, 2024 and sell it today you would lose (330.00) from holding GlaxoSmithKline PLC ADR or give up 8.81% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Icade SA
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Icade SA |
GlaxoSmithKline PLC and Icade SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Icade SA
The main advantage of trading using opposite GlaxoSmithKline PLC and Icade SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Icade SA 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 Icade SA will offset losses from the drop in Icade SA'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 Transaction History module to view history of all your transactions and understand their impact on performance.
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