Correlation Between Eli Lilly and GlaxoSmithKline PLC

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

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

Diversification Opportunities for Eli Lilly and GlaxoSmithKline PLC

0.28
  Correlation Coefficient
Eli Lilly And
GlaxoSmithKline PLC

Modest diversification

The 3 months correlation between Eli Lilly and GlaxoSmithKline is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly And Company and GlaxoSmithKline PLC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on GlaxoSmithKline PLC and Eli Lilly 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 Eli Lilly And 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 has no effect on the direction of Eli Lilly i.e. Eli Lilly and GlaxoSmithKline PLC go up and down completely randomly.

Pair Corralation between Eli Lilly and GlaxoSmithKline PLC

Considering the 30-days investment horizon, Eli Lilly And is expected to generate 1.74 times more return on investment than GlaxoSmithKline PLC. However, Eli Lilly is 1.74 times more volatile than GlaxoSmithKline PLC. It trades about 0.06 of its potential returns per unit of risk. GlaxoSmithKline PLC is currently generating about -0.01 per unit of risk. If you would invest  15,111  in Eli Lilly And on June 13, 2020 and sell it today you would earn a total of  1,225  from holding Eli Lilly And or generate 8.11% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Eli Lilly And Company  vs.  GlaxoSmithKline PLC

 Performance (%) 
      Timeline 
Eli Lilly And 
44

Eli Lilly Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Eli Lilly And are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. In spite of fairly unsteady basic indicators, Eli Lilly may actually be approaching a critical reversion point that can send shares even higher in August 2020.
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.

Eli Lilly and GlaxoSmithKline PLC Volatility Contrast

 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.


 
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