Correlation Analysis Between GlaxoSmithKline PLC and Merck

This module allows you to analyze existing cross correlation between GlaxoSmithKline PLC and Merck Company. You can compare the effects of market volatilities on GlaxoSmithKline PLC and Merck 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 Merck. See also your portfolio center. Please also check ongoing floating volatility patterns of GlaxoSmithKline PLC and Merck.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

GlaxoSmithKline PLC  
1414

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in GlaxoSmithKline PLC are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days. Regardless of fairly conflicting technical and fundamental indicators, GlaxoSmithKline PLC may actually be approaching a critical reversion point that can send shares even higher in January 2020.
Merck  
88

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Merck Company are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days. Regardless of fairly conflicting technical and fundamental indicators, Merck may actually be approaching a critical reversion point that can send shares even higher in January 2020.

GlaxoSmithKline PLC and Merck Volatility Contrast

 Predicted Return Density 
      Returns 

GlaxoSmithKline PLC  vs.  Merck Company Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, GlaxoSmithKline PLC is expected to generate 0.79 times more return on investment than Merck. However, GlaxoSmithKline PLC is 1.27 times less risky than Merck. It trades about 0.22 of its potential returns per unit of risk. Merck Company is currently generating about 0.12 per unit of risk. If you would invest  4,060  in GlaxoSmithKline PLC on November 15, 2019 and sell it today you would earn a total of  538.00  from holding GlaxoSmithKline PLC or generate 13.25% return on investment over 30 days.

Pair Corralation between GlaxoSmithKline PLC and Merck

0.7
Time Period3 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for GlaxoSmithKline PLC and Merck

GlaxoSmithKline PLC diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding GlaxoSmithKline PLC and Merck Company Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Merck 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 Merck. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck has no effect on the direction of GlaxoSmithKline PLC i.e. GlaxoSmithKline PLC and Merck go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.


 
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