Correlation Between GlaxoSmithKline PLC and Astrazeneca PLC

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

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

Diversification Opportunities for GlaxoSmithKline PLC and Astrazeneca PLC

0.61
  Correlation Coefficient
GlaxoSmithKline PLC
Astrazeneca PLC

Poor diversification

The 3 months correlation between GlaxoSmithKline and Astrazeneca is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC and Astrazeneca PLC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Astrazeneca PLC 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 Astrazeneca PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astrazeneca PLC has no effect on the direction of GlaxoSmithKline PLC i.e. GlaxoSmithKline PLC and Astrazeneca PLC go up and down completely randomly.

Pair Corralation between GlaxoSmithKline PLC and Astrazeneca PLC

Considering the 30-days investment horizon, GlaxoSmithKline PLC is expected to under-perform the Astrazeneca PLC. But the stock apears to be less risky and, when comparing its historical volatility, GlaxoSmithKline PLC is 1.08 times less risky than Astrazeneca PLC. The stock trades about -0.01 of its potential returns per unit of risk. The Astrazeneca PLC is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  4,868  in Astrazeneca PLC on June 13, 2020 and sell it today you would earn a total of  508.00  from holding Astrazeneca PLC or generate 10.44% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

GlaxoSmithKline PLC  vs.  Astrazeneca PLC

 Performance (%) 
      Timeline 
GlaxoSmithKline PLC 
00

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 consistent technical and fundamental indicators, GlaxoSmithKline PLC is not utilizing all of its potentials. The latest stock price confusion, may contribute to short-horizon losses for the traders.
Astrazeneca PLC 
77

Astrazeneca PLC Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Astrazeneca PLC are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. Although quite unsteady forward indicators, Astrazeneca PLC may actually be approaching a critical reversion point that can send shares even higher in August 2020.

GlaxoSmithKline PLC and Astrazeneca PLC Volatility Contrast

 Predicted Return Density 
      Returns 
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