Correlation Analysis Between Astrazeneca PLC and Bristol Myers

This module allows you to analyze existing cross correlation between Astrazeneca PLC and Bristol Myers Squibb Company. You can compare the effects of market volatilities on Astrazeneca PLC and Bristol Myers 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 Astrazeneca PLC with a short position of Bristol Myers. See also your portfolio center. Please also check ongoing floating volatility patterns of Astrazeneca PLC and Bristol Myers.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Astrazeneca PLC  
66

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Astrazeneca PLC are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days. Allthough quite conflicting forward indicators, Astrazeneca PLC may actually be approaching a critical reversion point that can send shares even higher in January 2020.
Bristol Myers Squibb  
2222

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bristol Myers Squibb Company are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days. Inspite fairly conflicting basic indicators, Bristol Myers showed solid returns over the last few months and may actually be approaching a breakup point.

Astrazeneca PLC and Bristol Myers Volatility Contrast

 Predicted Return Density 
      Returns 

Astrazeneca PLC  vs.  Bristol Myers Squibb Company

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Astrazeneca PLC is expected to generate 2.59 times less return on investment than Bristol Myers. In addition to that, Astrazeneca PLC is 1.35 times more volatile than Bristol Myers Squibb Company. It trades about 0.1 of its total potential returns per unit of risk. Bristol Myers Squibb Company is currently generating about 0.33 per unit of volatility. If you would invest  4,827  in Bristol Myers Squibb Company on November 5, 2019 and sell it today you would earn a total of  1,110  from holding Bristol Myers Squibb Company or generate 23.0% return on investment over 30 days.

Pair Corralation between Astrazeneca PLC and Bristol Myers

0.85
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy98.44%
ValuesDaily Returns

Diversification Opportunities for Astrazeneca PLC and Bristol Myers

Astrazeneca PLC diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Astrazeneca PLC and Bristol Myers Squibb Company in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bristol Myers Squibb and Astrazeneca PLC 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 Astrazeneca PLC are associated (or correlated) with Bristol Myers. 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 Astrazeneca PLC i.e. Astrazeneca PLC and Bristol Myers go up and down completely randomly.
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