Correlation Between GlaxoSmithKline PLC and Sp Smallcap
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Sp Smallcap 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 Sp Smallcap 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 Sp Smallcap Index, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Sp Smallcap 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 Sp Smallcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Sp Smallcap.
Diversification Opportunities for GlaxoSmithKline PLC and Sp Smallcap
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and SMCIX is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Sp Smallcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Smallcap 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 Sp Smallcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Smallcap Index has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Sp Smallcap go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Sp Smallcap
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Sp Smallcap. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.19 times less risky than Sp Smallcap. The stock trades about -0.31 of its potential returns per unit of risk. The Sp Smallcap Index is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 2,338 in Sp Smallcap Index on August 26, 2024 and sell it today you would earn a total of 218.00 from holding Sp Smallcap Index or generate 9.32% 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. Sp Smallcap Index
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Sp Smallcap Index |
GlaxoSmithKline PLC and Sp Smallcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Sp Smallcap
The main advantage of trading using opposite GlaxoSmithKline PLC and Sp Smallcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Sp Smallcap 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 Sp Smallcap will offset losses from the drop in Sp Smallcap'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 |
| Sp Smallcap vs. Sp Midcap Index | Sp Smallcap vs. Sp 500 Index | Sp Smallcap vs. Nasdaq 100 Index Fund | Sp Smallcap vs. Deutsche Sp 500 |
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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