Correlation Between GlaxoSmithKline PLC and MSCI
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and MSCI 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 MSCI 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 MSCI Inc, you can compare the effects of market volatilities on GlaxoSmithKline PLC and MSCI 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 MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and MSCI.
Diversification Opportunities for GlaxoSmithKline PLC and MSCI
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between GlaxoSmithKline and MSCI is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and MSCI Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MSCI Inc 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MSCI Inc has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and MSCI go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and MSCI
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 4.13 times less return on investment than MSCI. But when comparing it to its historical volatility, GlaxoSmithKline PLC ADR is 1.26 times less risky than MSCI. It trades about 0.02 of its potential returns per unit of risk. MSCI Inc is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 47,283 in MSCI Inc on August 31, 2024 and sell it today you would earn a total of 13,680 from holding MSCI Inc or generate 28.93% 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. MSCI Inc
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| MSCI Inc |
GlaxoSmithKline PLC and MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and MSCI
The main advantage of trading using opposite GlaxoSmithKline PLC and MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, MSCI 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 MSCI will offset losses from the drop in MSCI'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 |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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