Correlation Between GlaxoSmithKline PLC and Aqr Managed
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Aqr Managed 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 Aqr Managed 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 Aqr Managed Futures, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Aqr Managed 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 Aqr Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Aqr Managed.
Diversification Opportunities for GlaxoSmithKline PLC and Aqr Managed
-0.33 | Correlation Coefficient |
Very good diversification
The 3 months correlation between GlaxoSmithKline and Aqr is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Aqr Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Managed Futures 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 Aqr Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Managed Futures has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Aqr Managed go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Aqr Managed
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 15.8 times less return on investment than Aqr Managed. In addition to that, GlaxoSmithKline PLC is 1.51 times more volatile than Aqr Managed Futures. It trades about 0.0 of its total potential returns per unit of risk. Aqr Managed Futures is currently generating about 0.03 per unit of volatility. If you would invest 799.00 in Aqr Managed Futures on August 26, 2024 and sell it today you would earn a total of 40.00 from holding Aqr Managed Futures or generate 5.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Aqr Managed Futures
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Aqr Managed Futures |
GlaxoSmithKline PLC and Aqr Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Aqr Managed
The main advantage of trading using opposite GlaxoSmithKline PLC and Aqr Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Aqr Managed 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 Aqr Managed will offset losses from the drop in Aqr Managed'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 |
| Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr Large Cap | Aqr Managed vs. Aqr International Defensive | Aqr Managed vs. Aqr International Defensive |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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