Correlation Between GlaxoSmithKline PLC and Mfs International
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Mfs International 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 Mfs International 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 Mfs International Value, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Mfs International 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 Mfs International. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Mfs International.
Diversification Opportunities for GlaxoSmithKline PLC and Mfs International
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and Mfs is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Mfs International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mfs International Value 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 Mfs International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mfs International Value has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Mfs International go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Mfs International
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Mfs International. In addition to that, GlaxoSmithKline PLC is 1.64 times more volatile than Mfs International Value. It trades about -0.3 of its total potential returns per unit of risk. Mfs International Value is currently generating about -0.16 per unit of volatility. If you would invest 4,209 in Mfs International Value on August 29, 2024 and sell it today you would lose (129.00) from holding Mfs International Value or give up 3.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Mfs International Value
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Mfs International Value |
GlaxoSmithKline PLC and Mfs International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Mfs International
The main advantage of trading using opposite GlaxoSmithKline PLC and Mfs International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Mfs International 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 Mfs International will offset losses from the drop in Mfs International'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 |
| Mfs International vs. Chartwell Small Cap | Mfs International vs. Artisan Small Cap | Mfs International vs. Us Small Cap | Mfs International vs. Baird Smallmid Cap |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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