Correlation Between GlaxoSmithKline PLC and Eli Lilly

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both GlaxoSmithKline PLC and Eli Lilly 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 Eli Lilly 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 Eli Lilly And, you can compare the effects of market volatilities on GlaxoSmithKline PLC and Eli Lilly 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 Eli Lilly. Check out your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Eli Lilly.

Diversification Opportunities for GlaxoSmithKline PLC and Eli Lilly

0.96
  Correlation Coefficient

Almost no diversification

The 3 months correlation between GlaxoSmithKline and Eli is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC ADR and Eli Lilly And in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eli Lilly And 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 Eli Lilly. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eli Lilly And has no effect on the direction of GlaxoSmithKline PLC i.e., GlaxoSmithKline PLC and Eli Lilly go up and down completely randomly.

Pair Corralation between GlaxoSmithKline PLC and Eli Lilly

Considering the 90-day investment horizon GlaxoSmithKline PLC is expected to generate 38.31 times less return on investment than Eli Lilly. But when comparing it to its historical volatility, GlaxoSmithKline PLC ADR is 1.28 times less risky than Eli Lilly. It trades about 0.0 of its potential returns per unit of risk. Eli Lilly And is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  30,258  in Eli Lilly And on December 30, 2023 and sell it today you would earn a total of  47,538  from holding Eli Lilly And or generate 157.11% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

GlaxoSmithKline PLC ADR  vs.  Eli Lilly And

 Performance 
       Timeline  
GlaxoSmithKline PLC ADR 

Risk-Adjusted Performance

18 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in GlaxoSmithKline PLC ADR are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, GlaxoSmithKline PLC disclosed solid returns over the last few months and may actually be approaching a breakup point.
Eli Lilly And 

Risk-Adjusted Performance

21 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Eli Lilly And are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak essential indicators, Eli Lilly showed solid returns over the last few months and may actually be approaching a breakup point.

GlaxoSmithKline PLC and Eli Lilly Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with GlaxoSmithKline PLC and Eli Lilly

The main advantage of trading using opposite GlaxoSmithKline PLC and Eli Lilly positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GlaxoSmithKline PLC position performs unexpectedly, Eli Lilly 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 Eli Lilly will offset losses from the drop in Eli Lilly's long position.
The idea behind GlaxoSmithKline PLC ADR and Eli Lilly And pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.

Other Complementary Tools

Companies Directory
Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals
Portfolio Analyzer
Portfolio analysis module that provides access to portfolio diagnostics and optimization engine
Portfolio Anywhere
Track or share privately all of your investments from the convenience of any device
Fundamentals Comparison
Compare fundamentals across multiple equities to find investing opportunities
Stock Screener
Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook.
Portfolio Manager
State of the art Portfolio Manager to monitor and improve performance of your invested capital
Aroon Oscillator
Analyze current equity momentum using Aroon Oscillator and other momentum ratios
Content Syndication
Quickly integrate customizable finance content to your own investment portal