Correlation Between Daiichi Sankyo and Bristol-Myers Squibb
Can any of the company-specific risk be diversified away by investing in both Daiichi Sankyo 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 Daiichi Sankyo 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 Daiichi Sankyo and Bristol Myers Squibb, you can compare the effects of market volatilities on Daiichi Sankyo 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 Daiichi Sankyo with a short position of Bristol-Myers Squibb. Check out your portfolio center. Please also check ongoing floating volatility patterns of Daiichi Sankyo and Bristol-Myers Squibb.
Diversification Opportunities for Daiichi Sankyo and Bristol-Myers Squibb
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between Daiichi and Bristol-Myers is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Daiichi Sankyo 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 Daiichi Sankyo 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 Daiichi Sankyo 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 Daiichi Sankyo i.e., Daiichi Sankyo and Bristol-Myers Squibb go up and down completely randomly.
Pair Corralation between Daiichi Sankyo and Bristol-Myers Squibb
Assuming the 90 days horizon Daiichi Sankyo is expected to under-perform the Bristol-Myers Squibb. In addition to that, Daiichi Sankyo is 3.38 times more volatile than Bristol Myers Squibb. It trades about -0.07 of its total potential returns per unit of risk. Bristol Myers Squibb is currently generating about 0.71 per unit of volatility. If you would invest 93,474 in Bristol Myers Squibb on November 8, 2024 and sell it today you would earn a total of 4,326 from holding Bristol Myers Squibb or generate 4.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 19.05% |
| Values | Daily Returns |
Daiichi Sankyo vs. Bristol Myers Squibb
Performance |
| Timeline |
| Daiichi Sankyo |
| Bristol Myers Squibb |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Good
Daiichi Sankyo and Bristol-Myers Squibb Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Daiichi Sankyo and Bristol-Myers Squibb
The main advantage of trading using opposite Daiichi Sankyo and Bristol-Myers Squibb positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Daiichi Sankyo 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.| Daiichi Sankyo vs. Astellas Pharma | Daiichi Sankyo vs. Bayer AG | Daiichi Sankyo vs. AstraZeneca PLC | Daiichi Sankyo vs. Sanofi 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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