Correlation Between GlaxoSmithKline PLC and Immutep
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Immutep 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 Immutep 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 Immutep Ltd ADR, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Immutep 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 Immutep. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Immutep.
Diversification Opportunities for GlaxoSmithKline PLC and Immutep
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and Immutep is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Immutep Ltd ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immutep Ltd ADR 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 Immutep. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immutep Ltd ADR has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Immutep go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Immutep
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 6.79 times less return on investment than Immutep. But when comparing it to its historical volatility, GlaxoSmithKline PLC ADR is 3.78 times less risky than Immutep. It trades about 0.01 of its potential returns per unit of risk. Immutep Ltd ADR is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 236.00 in Immutep Ltd ADR on August 29, 2024 and sell it today you would lose (45.00) from holding Immutep Ltd ADR or give up 19.07% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.6% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Immutep Ltd ADR
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Immutep Ltd ADR |
GlaxoSmithKline PLC and Immutep Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Immutep
The main advantage of trading using opposite GlaxoSmithKline PLC and Immutep positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Immutep 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 Immutep will offset losses from the drop in Immutep'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 |
| Immutep vs. Ocean Biomedical | Immutep vs. Elevation Oncology | Immutep vs. Zura Bio Limited | Immutep vs. Cns Pharmaceuticals |
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 Channel module to use Commodity Channel Index to analyze current equity momentum.
Other Complementary Tools
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
| Stocks Directory Find actively traded stocks across global markets | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |