Correlation Between GlaxoSmithKline PLC and Fortescue
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By analyzing existing cross correlation between GlaxoSmithKline PLC ADR and Fortescue Metals Group, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Fortescue 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 Fortescue. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Fortescue.
Diversification Opportunities for GlaxoSmithKline PLC and Fortescue
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between GlaxoSmithKline and Fortescue is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Fortescue Metals Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fortescue Metals 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 Fortescue. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fortescue Metals has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Fortescue go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and Fortescue
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the Fortescue. In addition to that, GlaxoSmithKline PLC is 4.05 times more volatile than Fortescue Metals Group. It trades about -0.25 of its total potential returns per unit of risk. Fortescue Metals Group is currently generating about -0.14 per unit of volatility. If you would invest 9,696 in Fortescue Metals Group on August 28, 2024 and sell it today you would lose (264.00) from holding Fortescue Metals Group or give up 2.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 85.71% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. Fortescue Metals Group
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| Fortescue Metals |
GlaxoSmithKline PLC and Fortescue Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and Fortescue
The main advantage of trading using opposite GlaxoSmithKline PLC and Fortescue positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Fortescue 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 Fortescue will offset losses from the drop in Fortescue'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 |
| Fortescue vs. Weyco Group | Fortescue vs. FitLife Brands, Common | Fortescue vs. National Beverage Corp | Fortescue vs. Beyond Meat |
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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