Correlation Between GlaxoSmithKline PLC and Marubeni
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Marubeni 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 Marubeni 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 Marubeni, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Marubeni 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 Marubeni. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Marubeni.
Diversification Opportunities for GlaxoSmithKline PLC and Marubeni
0.14 | Correlation Coefficient |
Average diversification
The 3 months correlation between GlaxoSmithKline and Marubeni is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Marubeni in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Marubeni 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 Marubeni. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Marubeni has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Marubeni go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Marubeni
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Marubeni. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 2.9 times less risky than Marubeni. The stock trades about -0.31 of its potential returns per unit of risk. The Marubeni is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 1,522 in Marubeni on August 29, 2024 and sell it today you would lose (15.00) from holding Marubeni or give up 0.99% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Marubeni
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Marubeni |
GlaxoSmithKline PLC and Marubeni Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Marubeni
The main advantage of trading using opposite GlaxoSmithKline PLC and Marubeni positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Marubeni 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 Marubeni will offset losses from the drop in Marubeni'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 |
| Marubeni vs. Marubeni Corp ADR | Marubeni vs. Mitsubishi Corp | Marubeni vs. Sumitomo Corp ADR | Marubeni vs. Itochu Corp ADR |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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