Correlation Between GlaxoSmithKline PLC and SUMITOMO P
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and SUMITOMO P 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 SUMITOMO P 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 SUMITOMO P SP, you can compare the effects of market volatilities on GlaxoSmithKline PLC and SUMITOMO P 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 SUMITOMO P. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and SUMITOMO P.
Diversification Opportunities for GlaxoSmithKline PLC and SUMITOMO P
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between GlaxoSmithKline and SUMITOMO is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and SUMITOMO P SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SUMITOMO P SP 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 SUMITOMO P. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SUMITOMO P SP has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and SUMITOMO P go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and SUMITOMO P
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the SUMITOMO P. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.29 times less risky than SUMITOMO P. The stock trades about -0.3 of its potential returns per unit of risk. The SUMITOMO P SP is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1,980 in SUMITOMO P SP on August 25, 2024 and sell it today you would earn a total of 10.00 from holding SUMITOMO P SP or generate 0.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. SUMITOMO P SP
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| SUMITOMO P SP |
GlaxoSmithKline PLC and SUMITOMO P Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and SUMITOMO P
The main advantage of trading using opposite GlaxoSmithKline PLC and SUMITOMO P positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, SUMITOMO P 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 SUMITOMO P will offset losses from the drop in SUMITOMO P'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 |
| SUMITOMO P vs. Superior Plus Corp | SUMITOMO P vs. NMI Holdings | SUMITOMO P vs. Origin Agritech | SUMITOMO P vs. SIVERS SEMICONDUCTORS AB |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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