Correlation Analysis Between GlaxoSmithKline PLC and Pfizer

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

GlaxoSmithKline PLC  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in GlaxoSmithKline PLC are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Regardless of fairly weak technical and fundamental indicators, GlaxoSmithKline PLC may actually be approaching a critical reversion point that can send shares even higher in January 2020.
Pfizer  
55

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Pfizer are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound fundamental drivers, Pfizer is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

GlaxoSmithKline PLC and Pfizer Volatility Contrast

 Predicted Return Density 
      Returns 

GlaxoSmithKline PLC  vs.  Pfizer Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, GlaxoSmithKline PLC is expected to generate 0.92 times more return on investment than Pfizer. However, GlaxoSmithKline PLC is 1.08 times less risky than Pfizer. It trades about 0.16 of its potential returns per unit of risk. Pfizer is currently generating about 0.07 per unit of risk. If you would invest  4,148  in GlaxoSmithKline PLC on November 6, 2019 and sell it today you would earn a total of  399.00  from holding GlaxoSmithKline PLC or generate 9.62% return on investment over 30 days.

Pair Corralation between GlaxoSmithKline PLC and Pfizer

0.72
Time Period3 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for GlaxoSmithKline PLC and Pfizer

GlaxoSmithKline PLC diversification synergy

Poor diversification

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