Correlation Between GlaxoSmithKline PLC and Lasertec
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Lasertec 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 Lasertec 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 Lasertec, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Lasertec 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 Lasertec. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Lasertec.
Diversification Opportunities for GlaxoSmithKline PLC and Lasertec
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GlaxoSmithKline and Lasertec is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Lasertec in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lasertec 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 Lasertec. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lasertec has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Lasertec go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Lasertec
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to generate 0.4 times more return on investment than Lasertec. However, GlaxoSmithKline PLC ADR is 2.47 times less risky than Lasertec. It trades about -0.34 of its potential returns per unit of risk. Lasertec is currently generating about -0.25 per unit of risk. If you would invest 3,755 in GlaxoSmithKline PLC ADR on August 24, 2024 and sell it today you would lose (385.00) from holding GlaxoSmithKline PLC ADR or give up 10.25% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Lasertec
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Lasertec |
GlaxoSmithKline PLC and Lasertec Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Lasertec
The main advantage of trading using opposite GlaxoSmithKline PLC and Lasertec positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Lasertec 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 Lasertec will offset losses from the drop in Lasertec'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 |
| Lasertec vs. Sumco Corp ADR | Lasertec vs. Asm Pacific Technology | Lasertec vs. Tokyo Electron | Lasertec vs. Advantest |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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