Correlation Between Grifols SA and Bristol-Myers Squibb
Can any of the company-specific risk be diversified away by investing in both Grifols SA 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 Grifols SA 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 Grifols SA ADR and Bristol Myers Squibb, you can compare the effects of market volatilities on Grifols SA 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 Grifols SA with a short position of Bristol-Myers Squibb. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grifols SA and Bristol-Myers Squibb.
Diversification Opportunities for Grifols SA and Bristol-Myers Squibb
-0.01 | Correlation Coefficient |
Good diversification
The 3 months correlation between Grifols and Bristol-Myers is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Grifols SA ADR 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 Grifols SA 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 Grifols SA ADR 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 Grifols SA i.e., Grifols SA and Bristol-Myers Squibb go up and down completely randomly.
Pair Corralation between Grifols SA and Bristol-Myers Squibb
Given the investment horizon of 90 days Grifols SA ADR is expected to under-perform the Bristol-Myers Squibb. But the stock apears to be less risky and, when comparing its historical volatility, Grifols SA ADR is 1.21 times less risky than Bristol-Myers Squibb. The stock trades about -0.07 of its potential returns per unit of risk. The Bristol Myers Squibb is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 80,055 in Bristol Myers Squibb on August 31, 2024 and sell it today you would earn a total of 20,500 from holding Bristol Myers Squibb or generate 25.61% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 96.83% |
Values | Daily Returns |
Grifols SA ADR vs. Bristol Myers Squibb
Performance |
Timeline |
Grifols SA ADR |
Bristol Myers Squibb |
Grifols SA and Bristol-Myers Squibb Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Grifols SA and Bristol-Myers Squibb
The main advantage of trading using opposite Grifols SA and Bristol-Myers Squibb positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Grifols SA 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.Grifols SA vs. Novartis AG ADR | Grifols SA vs. AstraZeneca PLC ADR | Grifols SA vs. GlaxoSmithKline PLC ADR | Grifols SA vs. Roche Holding Ltd |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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