AstraZeneca PLC Correlations

AZN Stock

USD 69.88 0.03 0.04%

The current 90-days correlation between AstraZeneca PLC ADR and Novartis AG ADR is 0.84 (i.e., Very poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as AstraZeneca PLC moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AstraZeneca PLC ADR moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

AstraZeneca PLC Correlation With Market

Very weak diversification

The correlation between AstraZeneca PLC ADR and DJI is 0.52 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AstraZeneca PLC ADR and DJI in the same portfolio, assuming nothing else is changed.

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Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in AstraZeneca PLC ADR. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with AstraZeneca Stock

0.7	A	Agilent Technologies	Pair Corr
0.67	JNJ	Johnson Johnson	Pair Corr
0.86	PFE	Pfizer Inc	Pair Corr
0.69	GILD	Gilead Sciences	Pair Corr
0.66	NTRB	Nutriband	Pair Corr
0.78	ABBV	AbbVie Inc	Pair Corr
0.73	AKAN	Akanda Corp	Pair Corr
0.64	AMGN	Amgen Inc	Pair Corr

Moving against AstraZeneca Stock

0.55	REVB	Revelation Biosciences	Pair Corr
0.54	DECAU	Denali Capital Acqui	Pair Corr
0.37	HUM	Humana Inc	Pair Corr

Related Correlations Analysis

	NVS	GSK	RHHBY	BMY	SNY	MRK	GILD	JNJ	ABBV	LLY
NVS		0.85	0.77	-0.28	-0.08	0.07	0.57	0.35	0.28	0.29	NVS
GSK	0.85		0.76	-0.15	0.23	0.08	0.62	0.4	0.47	0.19	GSK
RHHBY	0.77	0.76		0.14	0.38	0.48	0.51	0.68	0.68	0.56	RHHBY
BMY	-0.28	-0.15	0.14		0.37	0.82	0.38	0.57	0.57	0.31	BMY
SNY	-0.08	0.23	0.38	0.37		0.41	0.15	0.45	0.6	0.22	SNY
MRK	0.07	0.08	0.48	0.82	0.41		0.4	0.65	0.77	0.66	MRK
GILD	0.57	0.62	0.51	0.38	0.15	0.4		0.48	0.43	0.18	GILD
JNJ	0.35	0.4	0.68	0.57	0.45	0.65	0.48		0.6	0.56	JNJ
ABBV	0.28	0.47	0.68	0.57	0.6	0.77	0.43	0.6		0.45	ABBV
LLY	0.29	0.19	0.56	0.31	0.22	0.66	0.18	0.56	0.45		LLY
	NVS	GSK	RHHBY	BMY	SNY	MRK	GILD	JNJ	ABBV	LLY

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GSK	+ 0.85	NVS
MRK	+ 0.82	BMY
RHHBY	+ 0.77	NVS
ABBV	+ 0.77	MRK
RHHBY	+ 0.76	GSK
JNJ	+ 0.68	RHHBY

High negative correlations

BMY	- 0.28	NVS
BMY	- 0.15	GSK
SNY	- 0.08	NVS

Risk-Adjusted Indicators

There is a big difference between AstraZeneca Stock performing well and AstraZeneca PLC Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze AstraZeneca PLC's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
NVS	1.15	0.11	0.05	0.32	1.53	(1.19)	2.66	(1.95)	7.06
GSK	1.53	0.01	(0.01)	0.06	2.29	(1.40)	2.58	(3.49)	9.98
RHHBY	1.47	(0.05)	0.00	(0.06)	0.00	0.00	2.84	(3.03)	8.19
BMY	1.51	(0.37)	0.00	(0.58)	0.00	0.00	1.99	(3.84)	9.03
SNY	1.46	(0.18)	0.00	(0.28)	0.00	0.00	2.49	(2.64)	9.39
MRK	1.54	(0.16)	0.00	(0.18)	0.00	0.00	2.55	(4.58)	10.58
GILD	1.62	0.03	0.01	0.10	2.01	(1.69)	2.83	(3.09)	10.13
JNJ	1.03	(0.08)	0.00	(0.31)	0.00	0.00	2.04	(1.83)	8.89
ABBV	1.46	(0.16)	0.00	(0.17)	0.00	0.00	2.65	(4.55)	9.34
LLY	2.15	(0.13)	0.00	(0.13)	0.00	0.00	3.72	(4.35)	25.96

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