Correlation Between Bristol Myers and Astrazeneca PLC

By analyzing existing cross correlation between Bristol Myers Squibb and Astrazeneca PLC, you can compare the effects of market volatilities on Bristol Myers and Astrazeneca PLC 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 Bristol Myers with a short position of Astrazeneca PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bristol Myers and Astrazeneca PLC.

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Can any of the company-specific risk be diversified away by investing in both Bristol Myers and Astrazeneca PLC 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 Bristol Myers and Astrazeneca PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for Bristol Myers and Astrazeneca PLC

0.08
  Correlation Coefficient
Bristol Myers Squibb
Astrazeneca PLC

Significant diversification

The 3 months correlation between Bristol and Astrazeneca is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Bristol Myers Squibb Company and Astrazeneca PLC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Astrazeneca PLC and Bristol Myers 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 Bristol Myers Squibb are associated (or correlated) with Astrazeneca PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astrazeneca PLC has no effect on the direction of Bristol Myers i.e. Bristol Myers and Astrazeneca PLC go up and down completely randomly.

Pair Corralation between Bristol Myers and Astrazeneca PLC

Considering the 30-days investment horizon, Bristol Myers Squibb is expected to under-perform the Astrazeneca PLC. But the stock apears to be less risky and, when comparing its historical volatility, Bristol Myers Squibb is 1.1 times less risky than Astrazeneca PLC. The stock trades about -0.02 of its potential returns per unit of risk. The Astrazeneca PLC is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  4,913  in Astrazeneca PLC on June 15, 2020 and sell it today you would earn a total of  485.00  from holding Astrazeneca PLC or generate 9.87% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Bristol Myers Squibb Company  vs.  Astrazeneca PLC

 Performance (%) 
      Timeline 
Bristol Myers Squibb 
00

Bristol Myers Risk-Adjusted Performance

Over the last 30 days Bristol Myers Squibb has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, Bristol Myers is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short term losses for the investors.
Astrazeneca PLC 
77

Astrazeneca PLC Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Astrazeneca PLC are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. Although quite weak basic indicators, Astrazeneca PLC may actually be approaching a critical reversion point that can send shares even higher in August 2020.

Bristol Myers and Astrazeneca PLC Volatility Contrast

 Predicted Return Density 
      Returns 
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