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 Small, 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
-0.73 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and Loomis is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Loomis Sayles Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loomis Sayles Small 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 Small 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 ADR is expected to under-perform the Loomis Sayles. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.15 times less risky than Loomis Sayles. The stock trades about -0.3 of its potential returns per unit of risk. The Loomis Sayles Small is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 2,441 in Loomis Sayles Small on August 30, 2024 and sell it today you would earn a total of 246.00 from holding Loomis Sayles Small or generate 10.08% 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. Loomis Sayles Small
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Loomis Sayles Small |
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. Vanguard Small Cap Index | Loomis Sayles vs. T Rowe Price | Loomis Sayles vs. HUMANA INC | Loomis Sayles vs. Aquagold International |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas |