Correlation Between GlaxoSmithKline PLC and IShares SPTSX
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and IShares SPTSX 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 IShares SPTSX 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 iShares SPTSX 60, you can compare the effects of market volatilities on GlaxoSmithKline PLC and IShares SPTSX 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 IShares SPTSX. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and IShares SPTSX.
Diversification Opportunities for GlaxoSmithKline PLC and IShares SPTSX
-0.95 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between GlaxoSmithKline and IShares is -0.95. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and iShares SPTSX 60 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SPTSX 60 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 IShares SPTSX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SPTSX 60 has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and IShares SPTSX go up and down completely randomly.
Pair Corralation between GlaxoSmithKline PLC and IShares SPTSX
Considering the 90-day investment horizon GlaxoSmithKline PLC ADR is expected to under-perform the IShares SPTSX. In addition to that, GlaxoSmithKline PLC is 2.43 times more volatile than iShares SPTSX 60. It trades about -0.3 of its total potential returns per unit of risk. iShares SPTSX 60 is currently generating about 0.31 per unit of volatility. If you would invest 3,698 in iShares SPTSX 60 on August 28, 2024 and sell it today you would earn a total of 142.00 from holding iShares SPTSX 60 or generate 3.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GlaxoSmithKline PLC ADR vs. iShares SPTSX 60
Performance |
| Timeline |
| GlaxoSmithKline PLC ADR |
| iShares SPTSX 60 |
GlaxoSmithKline PLC and IShares SPTSX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GlaxoSmithKline PLC and IShares SPTSX
The main advantage of trading using opposite GlaxoSmithKline PLC and IShares SPTSX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, IShares SPTSX 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 IShares SPTSX will offset losses from the drop in IShares SPTSX'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 |
| IShares SPTSX vs. iShares Core SP | IShares SPTSX vs. iShares Core SPTSX | IShares SPTSX vs. iShares SPTSX Capped | IShares SPTSX vs. iShares SPTSX Capped |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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