Correlation Between GlaxoSmithKline PLC and JPMorgan Short
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and JPMorgan Short 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 JPMorgan Short 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 JPMorgan Short Duration, you can compare the effects of market volatilities on GlaxoSmithKline PLC and JPMorgan Short 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 JPMorgan Short. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and JPMorgan Short.
Diversification Opportunities for GlaxoSmithKline PLC and JPMorgan Short
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between GlaxoSmithKline and JPMorgan is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and JPMorgan Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JPMorgan Short Duration 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 JPMorgan Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JPMorgan Short Duration has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and JPMorgan Short go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and JPMorgan Short
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the JPMorgan Short. In addition to that, GlaxoSmithKline PLC is 12.33 times more volatile than JPMorgan Short Duration. It trades about -0.3 of its total potential returns per unit of risk. JPMorgan Short Duration is currently generating about 0.06 per unit of volatility. If you would invest 4,677 in JPMorgan Short Duration on August 29, 2024 and sell it today you would earn a total of 7.00 from holding JPMorgan Short Duration or generate 0.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. JPMorgan Short Duration
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| JPMorgan Short Duration |
GlaxoSmithKline PLC and JPMorgan Short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and JPMorgan Short
The main advantage of trading using opposite GlaxoSmithKline PLC and JPMorgan Short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, JPMorgan Short 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 JPMorgan Short will offset losses from the drop in JPMorgan Short'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 |
| JPMorgan Short vs. iShares 5 10 Year | JPMorgan Short vs. iShares 0 5 Year | JPMorgan Short vs. SPDR Barclays Short | JPMorgan Short vs. iShares Core Total |
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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