Correlation Between GlaxoSmithKline PLC and Loomis Sayles
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Loomis Sayles 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 Loomis Sayles 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 Loomis Sayles Bond, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Loomis Sayles 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 Loomis Sayles. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Loomis Sayles.
Diversification Opportunities for GlaxoSmithKline PLC and Loomis Sayles
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between GlaxoSmithKline and Loomis is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Loomis Sayles Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Bond 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 Loomis Sayles. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loomis Sayles Bond has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Loomis Sayles go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Loomis Sayles
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 1.63 times less return on investment than Loomis Sayles. In addition to that, GlaxoSmithKline PLC is 3.63 times more volatile than Loomis Sayles Bond. It trades about 0.01 of its total potential returns per unit of risk. Loomis Sayles Bond is currently generating about 0.07 per unit of volatility. If you would invest 1,043 in Loomis Sayles Bond on August 26, 2024 and sell it today you would earn a total of 138.00 from holding Loomis Sayles Bond or generate 13.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Loomis Sayles Bond
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Loomis Sayles Bond |
GlaxoSmithKline PLC and Loomis Sayles Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Loomis Sayles
The main advantage of trading using opposite GlaxoSmithKline PLC and Loomis Sayles positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Loomis Sayles 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 Loomis Sayles will offset losses from the drop in Loomis Sayles' 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 |
| Loomis Sayles vs. Metropolitan West Total | Loomis Sayles vs. Harbor Bond Fund | Loomis Sayles vs. Doubleline Total Return | Loomis Sayles vs. Fidelity Advisor Floating |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Other Complementary Tools
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk |