Correlation Between GlaxoSmithKline PLC and IGO
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and IGO 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 IGO 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 IGO Limited, you can compare the effects of market volatilities on GlaxoSmithKline PLC and IGO 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 IGO. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and IGO.
Diversification Opportunities for GlaxoSmithKline PLC and IGO
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between GlaxoSmithKline and IGO is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and IGO Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IGO Limited 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 IGO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IGO Limited has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and IGO go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and IGO
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the IGO. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 4.53 times less risky than IGO. The stock trades about -0.04 of its potential returns per unit of risk. The IGO Limited is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 417.00 in IGO Limited on August 29, 2024 and sell it today you would lose (77.00) from holding IGO Limited or give up 18.47% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 98.09% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. IGO Limited
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| IGO Limited |
GlaxoSmithKline PLC and IGO Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and IGO
The main advantage of trading using opposite GlaxoSmithKline PLC and IGO positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, IGO 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 IGO will offset losses from the drop in IGO'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 |
| IGO vs. Grid Metals Corp | IGO vs. First American Silver | IGO vs. Qubec Nickel Corp | IGO vs. Lithium Australia NL |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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