Correlation Between GlaxoSmithKline PLC and SPDR SP
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and SPDR SP 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 SPDR SP 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 SPDR SP Insurance, you can compare the effects of market volatilities on GlaxoSmithKline PLC and SPDR SP 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 SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and SPDR SP.
Diversification Opportunities for GlaxoSmithKline PLC and SPDR SP
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between GlaxoSmithKline and SPDR is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and SPDR SP Insurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP Insurance 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP Insurance has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and SPDR SP go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and SPDR SP
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the SPDR SP. In addition to that, GlaxoSmithKline PLC is 1.07 times more volatile than SPDR SP Insurance. It trades about -0.3 of its total potential returns per unit of risk. SPDR SP Insurance is currently generating about 0.21 per unit of volatility. If you would invest 5,755 in SPDR SP Insurance on August 25, 2024 and sell it today you would earn a total of 346.00 from holding SPDR SP Insurance or generate 6.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. SPDR SP Insurance
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| SPDR SP Insurance |
GlaxoSmithKline PLC and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and SPDR SP
The main advantage of trading using opposite GlaxoSmithKline PLC and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, SPDR SP 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 SPDR SP will offset losses from the drop in SPDR SP'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 |
| SPDR SP vs. SPDR SP Capital | SPDR SP vs. iShares Insurance ETF | SPDR SP vs. SPDR SP Bank | SPDR SP vs. iShares Broker Dealers Securities |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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