Correlation Between Valneva SE and GlaxoSmithKline PLC
Can any of the company-specific risk be diversified away by investing in both Valneva SE and GlaxoSmithKline PLC 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 Valneva SE and GlaxoSmithKline PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Valneva SE ADR and GlaxoSmithKline PLC ADR, you can compare the effects of market volatilities on Valneva SE and GlaxoSmithKline PLC 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 Valneva SE with a short position of GlaxoSmithKline PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valneva SE and GlaxoSmithKline PLC.
Diversification Opportunities for Valneva SE and GlaxoSmithKline PLC
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Valneva and GlaxoSmithKline is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Valneva SE ADR and GlaxoSmithKline PLC ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GlaxoSmithKline PLC ADR and Valneva SE 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 Valneva SE ADR are associated (or correlated) with GlaxoSmithKline PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GlaxoSmithKline PLC ADR has no effect on the direction of Valneva SE i.e., Valneva SE and GlaxoSmithKline PLC go up and down completely randomly.
Pair Corralation between Valneva SE and GlaxoSmithKline PLC
Given the investment horizon of 90 days Valneva SE ADR is expected to generate 3.22 times more return on investment than GlaxoSmithKline PLC. However, Valneva SE is 3.22 times more volatile than GlaxoSmithKline PLC ADR. It trades about 0.31 of its potential returns per unit of risk. GlaxoSmithKline PLC ADR is currently generating about 0.18 per unit of risk. If you would invest 437.00 in Valneva SE ADR on November 18, 2024 and sell it today you would earn a total of 230.00 from holding Valneva SE ADR or generate 52.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Valneva SE ADR vs. GlaxoSmithKline PLC ADR
Performance |
| Timeline |
| Valneva SE ADR |
| GlaxoSmithKline PLC ADR |
Valneva SE and GlaxoSmithKline PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valneva SE and GlaxoSmithKline PLC
The main advantage of trading using opposite Valneva SE and GlaxoSmithKline PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valneva SE position performs unexpectedly, GlaxoSmithKline PLC 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 GlaxoSmithKline PLC will offset losses from the drop in GlaxoSmithKline PLC's long position.| Valneva SE vs. NuCana PLC | Valneva SE vs. Sage Therapeutic | Valneva SE vs. Sellas Life Sciences | Valneva SE vs. Third Harmonic Bio |
| GlaxoSmithKline PLC vs. Novartis AG ADR | GlaxoSmithKline PLC vs. AstraZeneca PLC ADR | GlaxoSmithKline PLC vs. Roche Holding Ltd | GlaxoSmithKline PLC vs. Bristol Myers Squibb |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
Other Complementary Tools
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments |