Correlation Between GlaxoSmithKline PLC and WSE WIG
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and WSE WIG 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 WSE WIG 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 WSE WIG INDEX, you can compare the effects of market volatilities on GlaxoSmithKline PLC and WSE WIG 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 WSE WIG. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and WSE WIG.
Diversification Opportunities for GlaxoSmithKline PLC and WSE WIG
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GlaxoSmithKline and WSE is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and WSE WIG INDEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on WSE WIG 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 WSE WIG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of WSE WIG INDEX has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and WSE WIG go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and WSE WIG
Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 4.75 times less return on investment than WSE WIG. In addition to that, GlaxoSmithKline PLC is 1.21 times more volatile than WSE WIG INDEX. It trades about 0.01 of its total potential returns per unit of risk. WSE WIG INDEX is currently generating about 0.07 per unit of volatility. If you would invest 5,647,883 in WSE WIG INDEX on August 26, 2024 and sell it today you would earn a total of 2,301,331 from holding WSE WIG INDEX or generate 40.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.6% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. WSE WIG INDEX
Performance |
| Timeline |
GlaxoSmithKline PLC and WSE WIG Volatility Contrast
Predicted Return Density |
| Returns |
GlaxoSmithKline PLC ADR
Pair trading matchups for GlaxoSmithKline PLC
WSE WIG INDEX
Pair trading matchups for WSE WIG
Pair Trading with GlaxoSmithKline PLC and WSE WIG
The main advantage of trading using opposite GlaxoSmithKline PLC and WSE WIG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, WSE WIG 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 WSE WIG will offset losses from the drop in WSE WIG'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 |
| WSE WIG vs. SOFTWARE MANSION SPOLKA | WSE WIG vs. New Tech Venture | WSE WIG vs. Santander Bank Polska | WSE WIG vs. Skyline Investment SA |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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