Correlation Between GlaxoSmithKline PLC and Gilead Sciences

By analyzing existing cross correlation between GlaxoSmithKline PLC and Gilead Sciences, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Gilead Sciences 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 Gilead Sciences. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Gilead Sciences.

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Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Gilead Sciences 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 Gilead Sciences into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for GlaxoSmithKline PLC and Gilead Sciences

  Correlation Coefficient
GlaxoSmithKline PLC
Gilead Sciences

Very weak diversification

The 3 months correlation between GlaxoSmithKline and Gilead is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC and Gilead Sciences Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Gilead Sciences 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 are associated (or correlated) with Gilead Sciences. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gilead Sciences has no effect on the direction of GlaxoSmithKline PLC i.e. GlaxoSmithKline PLC and Gilead Sciences go up and down completely randomly.

Pair Corralation between GlaxoSmithKline PLC and Gilead Sciences

Considering the 30-days investment horizon, GlaxoSmithKline PLC is expected to generate 3.68 times less return on investment than Gilead Sciences. But when comparing it to its historical volatility, GlaxoSmithKline PLC is 1.78 times less risky than Gilead Sciences. It trades about 0.01 of its potential returns per unit of risk. Gilead Sciences is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  7,463  in Gilead Sciences on June 14, 2020 and sell it today you would earn a total of  205.00  from holding Gilead Sciences or generate 2.75% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
ValuesDaily Returns

GlaxoSmithKline PLC  vs.  Gilead Sciences Inc

 Performance (%) 
GlaxoSmithKline PLC 

GlaxoSmithKline PLC Risk-Adjusted Performance

Over the last 30 days GlaxoSmithKline PLC has generated negative risk-adjusted returns adding no value to investors with long positions. Regardless of fairly strong basic indicators, GlaxoSmithKline PLC is not utilizing all of its potentials. The latest stock price confusion, may contribute to short-horizon losses for the traders.
Gilead Sciences 

Gilead Sciences Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Gilead Sciences are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound basic indicators, Gilead Sciences is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

GlaxoSmithKline PLC and Gilead Sciences Volatility Contrast

 Predicted Return Density 
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