Correlation Between GlaxoSmithKline PLC and SPDR SP
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and SPDR SP 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 SPDR SP 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 SPDR SP 600, you can compare the effects of market volatilities on GlaxoSmithKline PLC and SPDR SP 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 SPDR SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and SPDR SP.
Diversification Opportunities for GlaxoSmithKline PLC and SPDR SP
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and SPDR is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and SPDR SP 600 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 600 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 SPDR SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 600 has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and SPDR SP go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and SPDR SP
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the SPDR SP. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.21 times less risky than SPDR SP. The stock trades about -0.33 of its potential returns per unit of risk. The SPDR SP 600 is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 8,673 in SPDR SP 600 on August 27, 2024 and sell it today you would earn a total of 650.00 from holding SPDR SP 600 or generate 7.49% 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. SPDR SP 600
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| SPDR SP 600 |
GlaxoSmithKline PLC and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and SPDR SP
The main advantage of trading using opposite GlaxoSmithKline PLC and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, SPDR SP 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 SPDR SP will offset losses from the drop in SPDR SP'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 |
| SPDR SP vs. Dimensional ETF Trust | SPDR SP vs. Vanguard Small Cap Index | SPDR SP vs. First Trust Multi Manager | SPDR SP vs. Vanguard SP Small 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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