Correlation Between GlaxoSmithKline PLC and Mackenzie TIPS
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Mackenzie TIPS 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 Mackenzie TIPS 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 Mackenzie TIPS Index, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Mackenzie TIPS 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 Mackenzie TIPS. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Mackenzie TIPS.
Diversification Opportunities for GlaxoSmithKline PLC and Mackenzie TIPS
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and Mackenzie is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Mackenzie TIPS Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mackenzie TIPS Index 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 Mackenzie TIPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mackenzie TIPS Index has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Mackenzie TIPS go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Mackenzie TIPS
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Mackenzie TIPS. In addition to that, GlaxoSmithKline PLC is 5.16 times more volatile than Mackenzie TIPS Index. It trades about -0.31 of its total potential returns per unit of risk. Mackenzie TIPS Index is currently generating about -0.04 per unit of volatility. If you would invest 8,445 in Mackenzie TIPS Index on August 29, 2024 and sell it today you would lose (19.00) from holding Mackenzie TIPS Index or give up 0.22% 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. Mackenzie TIPS Index
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Mackenzie TIPS Index |
GlaxoSmithKline PLC and Mackenzie TIPS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Mackenzie TIPS
The main advantage of trading using opposite GlaxoSmithKline PLC and Mackenzie TIPS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Mackenzie TIPS 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 Mackenzie TIPS will offset losses from the drop in Mackenzie TIPS'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 |
| Mackenzie TIPS vs. Mackenzie Developed ex North | Mackenzie TIPS vs. Mackenzie Global Sustainable | Mackenzie TIPS vs. Mackenzie Aggregate Bond | Mackenzie TIPS vs. Mackenzie Canadian Ultra |
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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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