Correlation Between GlaxoSmithKline PLC and Sanofi ADR
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Sanofi ADR 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 Sanofi ADR 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 Sanofi ADR, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Sanofi ADR 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 Sanofi ADR. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Sanofi ADR.
Diversification Opportunities for GlaxoSmithKline PLC and Sanofi ADR
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between GlaxoSmithKline and Sanofi is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Sanofi ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sanofi ADR 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 Sanofi ADR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sanofi ADR has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Sanofi ADR go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Sanofi ADR
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Sanofi ADR. In addition to that, GlaxoSmithKline PLC is 1.24 times more volatile than Sanofi ADR. It trades about -0.24 of its total potential returns per unit of risk. Sanofi ADR is currently generating about -0.29 per unit of volatility. If you would invest 5,665 in Sanofi ADR on August 26, 2024 and sell it today you would lose (837.00) from holding Sanofi ADR or give up 14.77% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Sanofi ADR
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Sanofi ADR |
GlaxoSmithKline PLC and Sanofi ADR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Sanofi ADR
The main advantage of trading using opposite GlaxoSmithKline PLC and Sanofi ADR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Sanofi ADR 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 Sanofi ADR will offset losses from the drop in Sanofi ADR'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 |
| Sanofi ADR vs. AstraZeneca PLC ADR | Sanofi ADR vs. Roche Holding Ltd | Sanofi ADR vs. GlaxoSmithKline PLC ADR | Sanofi ADR vs. Merck Company |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
Other Complementary Tools
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments |