Correlation Analysis Between Bristol Myers and GlaxoSmithKline PLC

Analyzing existing cross correlation between Bristol Myers Squibb Company and GlaxoSmithKline PLC. You can compare the effects of market volatilities on Bristol Myers and GlaxoSmithKline 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 GlaxoSmithKline PLC. See also your portfolio center. Please also check ongoing floating volatility patterns of Bristol Myers and GlaxoSmithKline PLC.
Horizon     30 Days    Login   to change
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Comparative Performance

Bristol Myers Squibb  
2424

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bristol Myers Squibb Company are ranked lower than 24 (%) 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.
GlaxoSmithKline PLC  
1010

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in GlaxoSmithKline PLC are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days. Regardless of fairly conflicting technical and fundamental indicators, GlaxoSmithKline PLC may actually be approaching a critical reversion point that can send shares even higher in February 2020.

Bristol Myers and GlaxoSmithKline PLC Volatility Contrast

 Predicted Return Density 
    
  Returns 

Bristol Myers Squibb Company  vs.  GlaxoSmithKline PLC

 Performance (%) 
    
  Timeline 

Pair Volatility

Considering 30-days investment horizon, Bristol Myers Squibb Company is expected to generate 1.2 times more return on investment than GlaxoSmithKline PLC. However, Bristol Myers is 1.2 times more volatile than GlaxoSmithKline PLC. It trades about 0.36 of its potential returns per unit of risk. GlaxoSmithKline PLC is currently generating about 0.15 per unit of risk. If you would invest  5,437  in Bristol Myers Squibb Company on December 23, 2019 and sell it today you would earn a total of  1,306  from holding Bristol Myers Squibb Company or generate 24.02% return on investment over 30 days.

Pair Corralation between Bristol Myers and GlaxoSmithKline PLC

0.93
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Bristol Myers and GlaxoSmithKline PLC

Bristol Myers Squibb Company diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bristol Myers Squibb Company and GlaxoSmithKline PLC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on GlaxoSmithKline 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 Company are associated (or correlated) with GlaxoSmithKline PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GlaxoSmithKline PLC has no effect on the direction of Bristol Myers i.e. Bristol Myers and GlaxoSmithKline PLC go up and down completely randomly.
See also your portfolio center. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.