Correlation Between GlaxoSmithKline PLC and Global Managed
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Global Managed 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 Global Managed 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 Global Managed Volatility, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Global Managed 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 Global Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Global Managed.
Diversification Opportunities for GlaxoSmithKline PLC and Global Managed
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between GlaxoSmithKline and Global is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Global Managed Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Managed Volatility 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 Global Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Managed Volatility has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Global Managed go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Global Managed
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Global Managed. In addition to that, GlaxoSmithKline PLC is 2.35 times more volatile than Global Managed Volatility. It trades about -0.3 of its total potential returns per unit of risk. Global Managed Volatility is currently generating about 0.09 per unit of volatility. If you would invest 1,161 in Global Managed Volatility on August 29, 2024 and sell it today you would earn a total of 13.00 from holding Global Managed Volatility or generate 1.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Global Managed Volatility
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Global Managed Volatility |
GlaxoSmithKline PLC and Global Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Global Managed
The main advantage of trading using opposite GlaxoSmithKline PLC and Global Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Global Managed 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 Global Managed will offset losses from the drop in Global Managed'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 |
| Global Managed vs. Mirova Global Green | Global Managed vs. T Rowe Price | Global Managed vs. Sterling Capital Short | Global Managed vs. Transamerica Funds |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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