GlaxoSmithKline Volatility

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GSK -- USA Stock  

Report: 22nd of July 2020  

GlaxoSmithKline PLC holds Efficiency (Sharpe) Ratio of -0.025, which attests that the entity had -0.025% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in determining the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. GlaxoSmithKline PLC exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out GlaxoSmithKline PLC risk adjusted performance of 0.0942, and market risk adjusted performance of 0.1939 to validate the risk estimate we provide.

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GlaxoSmithKline PLC Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of GlaxoSmithKline daily returns, and it is calculated using variance and standard deviation. We also use GlaxoSmithKline's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of GlaxoSmithKline PLC volatility.

  GlaxoSmithKline PLC Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Slowly supersedes the market

GlaxoSmithKline PLC Market Sensitivity And Downside Risk

GlaxoSmithKline PLC beta coefficient measures the volatility of GlaxoSmithKline stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents GlaxoSmithKline stock's returns against your selected market. In other words, GlaxoSmithKline PLC's beta of 0.39 provides an investor with an approximation of how much risk GlaxoSmithKline PLC stock can potentially add to one of your existing portfolios. Let's try to break down what GlaxoSmithKline's beta means in this case. As returns on the market increase, GlaxoSmithKline PLC returns are expected to increase less than the market. However, during the bear market, the loss on holding GlaxoSmithKline PLC will be expected to be smaller as well.
3 Months Beta |Analyze GlaxoSmithKline PLC Demand Trend
Check current 30 days GlaxoSmithKline PLC correlation with market (DOW)
β

Current GlaxoSmithKline PLC Beta Coefficient

 = 

GlaxoSmithKline PLC Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by GlaxoSmithKline PLC's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of GlaxoSmithKline PLC stock's daily returns or price. Since the actual investment returns on holding a position in GlaxoSmithKline PLC stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in GlaxoSmithKline PLC.

GlaxoSmithKline PLC Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. GlaxoSmithKline PLC Typical Price indicator is an average of each day price and can be used instead of closing price when creating different GlaxoSmithKline PLC moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

GlaxoSmithKline PLC Projected Return Density Against Market

Considering the 30-days investment horizon, GlaxoSmithKline PLC has a beta of 0.385 . This usually indicates as returns on the market go up, GlaxoSmithKline PLC average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding GlaxoSmithKline PLC will be expected to be much smaller as well. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to GlaxoSmithKline PLC or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that GlaxoSmithKline PLC stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a GlaxoSmithKline stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 5.0E-4, implying that it can generate a 5.0E-4 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

GlaxoSmithKline PLC Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to GlaxoSmithKline PLC or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that GlaxoSmithKline PLC stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a GlaxoSmithKline stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 30-days investment horizon, the coefficient of variation of GlaxoSmithKline PLC is -4000.83. The daily returns are destributed with a variance of 1.79 and standard deviation of 1.34. The mean deviation of GlaxoSmithKline PLC is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.0005
β
Beta against DOW=0.39
σ
Overall volatility
=1.34
Ir
Information ratio =-0.07

GlaxoSmithKline PLC Return Volatility

GlaxoSmithKline PLC historical daily return volatility represents how much GlaxoSmithKline PLC stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.3367% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.805% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About GlaxoSmithKline PLC Volatility

Volatility is a rate at which the price of GlaxoSmithKline PLC or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of GlaxoSmithKline PLC may increase or decrease. In other words, similar to GlaxoSmithKline's beta indicator, it measures the risk of GlaxoSmithKline PLC and helps estimate the fluctuations that may happen in a short period of time. So if prices of GlaxoSmithKline PLC fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
Last ReportedProjected for 2020
Market Capitalization126.4 B113.7 B
GlaxoSmithKline plc engages in the creation, discovery, development, manufacture, and marketing of pharmaceutical products, vaccines, over-the-counter medicines, and health-related consumer products in the United Kingdom, the United States, and internationally. GlaxoSmithKline plc was founded in 1715 and is headquartered in Brentford, the United Kingdom. GlaxoSmithKline PLC operates under Drug Manufacturers - General classification in the United States and is traded on BATS Exchange. It employs 99437 people.

GlaxoSmithKline PLC Investment Opportunity

DOW has a standard deviation of returns of 1.81 and is 1.35 times more volatile than GlaxoSmithKline PLC. 11  of all equities and portfolios are less risky than GlaxoSmithKline PLC. Compared to the overall equity markets, volatility of historical daily returns of GlaxoSmithKline PLC is lower than 11 () of all global equities and portfolios over the last 30 days. Use GlaxoSmithKline PLC to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of GlaxoSmithKline PLC to be traded at $44.77 in 30 days. . Let's try to break down what GlaxoSmithKline's beta means in this case. As returns on the market increase, GlaxoSmithKline PLC returns are expected to increase less than the market. However, during the bear market, the loss on holding GlaxoSmithKline PLC will be expected to be smaller as well.

GlaxoSmithKline PLC correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC and equity matching DJI index in the same portfolio.

GlaxoSmithKline PLC Additional Risk Indicators

The analysis of various secondary risk indicators of GlaxoSmithKline PLC is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in GlaxoSmithKline PLC investment, and either accepting that risk or mitigating it. Along with some common measures of GlaxoSmithKline PLC stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.0942
Market Risk Adjusted Performance0.1939
Mean Deviation1.07
Semi Deviation1.79
Downside Deviation1.86
Coefficient Of Variation1884.68
Standard Deviation1.52

GlaxoSmithKline PLC Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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