Correlation Between AstraZeneca PLC and Bristol-Myers Squibb
Can any of the company-specific risk be diversified away by investing in both AstraZeneca PLC and Bristol-Myers Squibb 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 AstraZeneca PLC and Bristol-Myers Squibb into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AstraZeneca PLC and Bristol Myers Squibb, you can compare the effects of market volatilities on AstraZeneca PLC and Bristol-Myers Squibb 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 AstraZeneca PLC with a short position of Bristol-Myers Squibb. Check out your portfolio center. Please also check ongoing floating volatility patterns of AstraZeneca PLC and Bristol-Myers Squibb.
Diversification Opportunities for AstraZeneca PLC and Bristol-Myers Squibb
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between AstraZeneca and Bristol-Myers is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding AstraZeneca PLC and Bristol Myers Squibb in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bristol Myers Squibb and AstraZeneca 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 AstraZeneca PLC are associated (or correlated) with Bristol-Myers Squibb. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bristol Myers Squibb has no effect on the direction of AstraZeneca PLC i.e., AstraZeneca PLC and Bristol-Myers Squibb go up and down completely randomly.
Pair Corralation between AstraZeneca PLC and Bristol-Myers Squibb
Assuming the 90 days horizon AstraZeneca PLC is expected to under-perform the Bristol-Myers Squibb. But the pink sheet apears to be less risky and, when comparing its historical volatility, AstraZeneca PLC is 1.64 times less risky than Bristol-Myers Squibb. The pink sheet trades about -0.2 of its potential returns per unit of risk. The Bristol Myers Squibb is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 84,453 in Bristol Myers Squibb on August 28, 2024 and sell it today you would earn a total of 16,102 from holding Bristol Myers Squibb or generate 19.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 90.48% |
| Values | Daily Returns |
AstraZeneca PLC vs. Bristol Myers Squibb
Performance |
| Timeline |
| AstraZeneca PLC |
| Bristol Myers Squibb |
AstraZeneca PLC and Bristol-Myers Squibb Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AstraZeneca PLC and Bristol-Myers Squibb
The main advantage of trading using opposite AstraZeneca PLC and Bristol-Myers Squibb positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AstraZeneca PLC position performs unexpectedly, Bristol-Myers Squibb 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 Bristol-Myers Squibb will offset losses from the drop in Bristol-Myers Squibb's long position.| AstraZeneca PLC vs. Roche Holding AG | AstraZeneca PLC vs. Roche Holding AG | AstraZeneca PLC vs. Roche Holding Ltd | AstraZeneca PLC vs. Grifols SA ADR |
| Bristol-Myers Squibb vs. Novartis AG | Bristol-Myers Squibb vs. Bayer AG | Bristol-Myers Squibb vs. Astellas Pharma | Bristol-Myers Squibb vs. Roche Holding AG |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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