Correlation Between GlaxoSmithKline PLC and SPDR MSCI
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and SPDR MSCI 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 SPDR MSCI 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 SPDR MSCI World, you can compare the effects of market volatilities on GlaxoSmithKline PLC and SPDR MSCI 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and SPDR MSCI.
Diversification Opportunities for GlaxoSmithKline PLC and SPDR MSCI
-0.91 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and SPDR is -0.91. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and SPDR MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI World 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI World has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and SPDR MSCI go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and SPDR MSCI
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the SPDR MSCI. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC ADR is 1.04 times less risky than SPDR MSCI. The stock trades about -0.3 of its potential returns per unit of risk. The SPDR MSCI World is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 16,186 in SPDR MSCI World on August 28, 2024 and sell it today you would earn a total of 662.00 from holding SPDR MSCI World or generate 4.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. SPDR MSCI World
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| SPDR MSCI World |
GlaxoSmithKline PLC and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and SPDR MSCI
The main advantage of trading using opposite GlaxoSmithKline PLC and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, SPDR MSCI 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 SPDR MSCI will offset losses from the drop in SPDR MSCI'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 |
| SPDR MSCI vs. SPDR Dow Jones | SPDR MSCI vs. iShares SP 500 | SPDR MSCI vs. iShares China CNY | SPDR MSCI vs. iShares Core MSCI |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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