Correlation Between GlaxoSmithKline PLC and Pgim Jennison
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Pgim Jennison 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 Pgim Jennison 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 Pgim Jennison International, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Pgim Jennison 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 Pgim Jennison. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Pgim Jennison.
Diversification Opportunities for GlaxoSmithKline PLC and Pgim Jennison
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between GlaxoSmithKline and Pgim is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Pgim Jennison International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pgim Jennison Intern 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 Pgim Jennison. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pgim Jennison Intern has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Pgim Jennison go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Pgim Jennison
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Pgim Jennison. In addition to that, GlaxoSmithKline PLC is 1.98 times more volatile than Pgim Jennison International. It trades about -0.25 of its total potential returns per unit of risk. Pgim Jennison International is currently generating about -0.13 per unit of volatility. If you would invest 3,178 in Pgim Jennison International on August 29, 2024 and sell it today you would lose (143.00) from holding Pgim Jennison International or give up 4.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Pgim Jennison International
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Pgim Jennison Intern |
GlaxoSmithKline PLC and Pgim Jennison Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Pgim Jennison
The main advantage of trading using opposite GlaxoSmithKline PLC and Pgim Jennison positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Pgim Jennison 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 Pgim Jennison will offset losses from the drop in Pgim Jennison'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 |
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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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