Novartis Correlations

NVS Stock

USD 114.29 2.96 2.66%

The current 90-days correlation between Novartis AG ADR and AstraZeneca PLC ADR is 0.7 (i.e., Poor diversification). The correlation of Novartis is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Novartis Correlation With Market

Average diversification

The correlation between Novartis AG ADR and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Novartis AG ADR and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Novartis Stock

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Novartis AG 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 real.

Moving together with Novartis Stock

0.72	GSK	GlaxoSmithKline PLC ADR	Pair Corr
0.82	CI	Cigna Corp	Pair Corr

Moving against Novartis Stock

0.6	SCLX	Scilex Holding	Pair Corr
0.45	SCLXW	Scilex Holding	Pair Corr
0.44	A	Agilent Technologies	Pair Corr
0.4	AMRN	Amarin PLC	Pair Corr
0.77	MBIO	Mustang Bio	Pair Corr
0.69	DH	Definitive Healthcare Earnings Call Tomorrow	Pair Corr
0.61	MDAI	Spectral AI	Pair Corr
0.6	MSPRW	MSP Recovery Symbol Change	Pair Corr
0.49	MCRB	Seres Therapeutics Earnings Call This Week	Pair Corr
0.46	EQ	Equillium	Pair Corr
0.34	MD	Mednax Inc Earnings Call Tomorrow	Pair Corr
0.31	OM	Outset Medical Earnings Call This Week	Pair Corr
0.62	MESO	Mesoblast	Pair Corr
0.55	DNLI	Denali Therapeutics Earnings Call Tomorrow	Pair Corr
0.54	MEIP	MEI Pharma Earnings Call This Week	Pair Corr
0.52	VANI	Vivani Medical	Pair Corr

Related Correlations Analysis

	AZN	GSK	RHHBY	BMY	SNY	MRK	BAYRY	GILD	JNJ	ABBV
AZN		0.76	0.84	0.69	0.9	0.81	0.0	0.63	0.77	0.93	AZN
GSK	0.76		0.91	0.42	0.83	0.61	0.0	0.64	0.68	0.8	GSK
RHHBY	0.84	0.91		0.5	0.86	0.67	0.0	0.63	0.73	0.83	RHHBY
BMY	0.69	0.42	0.5		0.7	0.87	0.0	0.47	0.66	0.79	BMY
SNY	0.9	0.83	0.86	0.7		0.83	0.0	0.61	0.74	0.91	SNY
MRK	0.81	0.61	0.67	0.87	0.83		0.0	0.45	0.68	0.88	MRK
BAYRY	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	BAYRY
GILD	0.63	0.64	0.63	0.47	0.61	0.45	0.0		0.8	0.65	GILD
JNJ	0.77	0.68	0.73	0.66	0.74	0.68	0.0	0.8		0.77	JNJ
ABBV	0.93	0.8	0.83	0.79	0.91	0.88	0.0	0.65	0.77		ABBV
	AZN	GSK	RHHBY	BMY	SNY	MRK	BAYRY	GILD	JNJ	ABBV

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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

ABBV	+ 0.93	AZN
RHHBY	+ 0.91	GSK
ABBV	+ 0.91	SNY
SNY	+ 0.9	AZN
ABBV	+ 0.88	MRK
MRK	+ 0.87	BMY

High negative correlations

ABBV	- 0.0	BAYRY
JNJ	- 0.0	BAYRY
GILD	- 0.0	BAYRY
BAYRY	- 0.0	MRK
BAYRY	- 0.0	SNY
BAYRY	- 0.0	BMY

Risk-Adjusted Indicators

There is a big difference between Novartis Stock performing well and Novartis 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 Novartis' 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
AZN	1.27	0.10	0.10	0.68	1.90	(1.22)	2.59	(2.30)	10.25
GSK	1.46	0.22	0.14	1.20	2.04	(1.47)	3.10	(2.76)	14.57
RHHBY	1.36	0.15	0.11	0.59	2.07	(1.31)	3.34	(2.92)	9.64
BMY	1.52	(0.27)	0.00	0.87	0.00	0.00	1.99	(3.70)	9.78
SNY	1.31	0.07	0.10	1.45	1.62	(1.34)	2.51	(2.35)	8.60
MRK	1.52	(0.28)	0.00	1.26	0.00	0.00	2.43	(4.81)	9.08
BAYRY	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GILD	1.42	0.10	0.12	77.34	1.73	(1.53)	2.56	(2.81)	12.03
JNJ	1.00	0.08	0.09	0.40	1.81	(0.91)	1.87	(1.81)	9.46
ABBV	1.32	0.10	0.09	1.23	2.12	(1.34)	2.37	(3.14)	9.34

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