Correlation Between Eli Lilly and GlaxoSmithKline PLC
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.
By analyzing existing cross correlation between Eli Lilly and and GlaxoSmithKline PLC ADR, 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.
Diversification Opportunities for Eli Lilly and GlaxoSmithKline PLC
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Eli and GlaxoSmithKline is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Eli Lilly and and GlaxoSmithKline PLC ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GlaxoSmithKline PLC ADR 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 ADR 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 90-day investment horizon Eli Lilly and is expected to generate 1.26 times more return on investment than GlaxoSmithKline PLC. However, Eli Lilly is 1.26 times more volatile than GlaxoSmithKline PLC ADR. It trades about 0.12 of its potential returns per unit of risk. GlaxoSmithKline PLC ADR is currently generating about 0.0 per unit of risk. If you would invest 30,801 in Eli Lilly and on January 20, 2024 and sell it today you would earn a total of 43,794 from holding Eli Lilly and or generate 142.18% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Eli Lilly and vs. GlaxoSmithKline PLC ADR
Performance |
Timeline |
Eli Lilly |
GlaxoSmithKline PLC ADR |
Eli Lilly and GlaxoSmithKline PLC Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Eli Lilly and GlaxoSmithKline PLC
The main advantage of trading using opposite Eli Lilly and GlaxoSmithKline PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eli Lilly position performs unexpectedly, GlaxoSmithKline PLC 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 GlaxoSmithKline PLC will offset losses from the drop in GlaxoSmithKline PLC's long position.Eli Lilly vs. Alkermes Plc | Eli Lilly vs. Ironwood Pharmaceuticals | Eli Lilly vs. Deciphera Pharmaceuticals LLC | Eli Lilly vs. Pacira Pharmaceuticals |
GlaxoSmithKline PLC vs. Alkermes Plc | GlaxoSmithKline PLC vs. Ironwood Pharmaceuticals | GlaxoSmithKline PLC vs. Deciphera Pharmaceuticals LLC | GlaxoSmithKline PLC vs. Pacira Pharmaceuticals |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
Other Complementary Tools
Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
Bonds Directory Find actively traded corporate debentures issued by US companies | |
Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
Fundamental Analysis View fundamental data based on most recent published financial statements | |
Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes |