Correlation Between Bristol-Myers Squibb and Astrazeneca Plc

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

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

Diversification Opportunities for Bristol-Myers Squibb and Astrazeneca Plc

0.7
  Correlation Coefficient
Bristol-Myers Squibb
Astrazeneca Plc ADR

Poor diversification

The 3 months correlation between Bristol-Myers and Astrazeneca is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Bristol-Myers Squibb and Astrazeneca Plc ADR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Astrazeneca Plc ADR and Bristol-Myers Squibb 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 ADR has no effect on the direction of Bristol-Myers Squibb i.e., Bristol-Myers Squibb and Astrazeneca Plc go up and down completely randomly.

Pair Corralation between Bristol-Myers Squibb and Astrazeneca Plc

Considering the 90-day investment horizon Bristol-Myers Squibb is expected to generate 1.02 times less return on investment than Astrazeneca Plc. But when comparing it to its historical volatility, Bristol-Myers Squibb is 1.23 times less risky than Astrazeneca Plc. It trades about 0.13 of its potential returns per unit of risk. Astrazeneca Plc ADR is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  5,370  in Astrazeneca Plc ADR on May 1, 2021 and sell it today you would earn a total of  394.00  from holding Astrazeneca Plc ADR or generate 7.34% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Bristol-Myers Squibb  vs.  Astrazeneca Plc ADR

 Performance (%) 
      Timeline 
Bristol-Myers Squibb 
 Bristol-Myers Performance
9 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Bristol-Myers Squibb are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating primary indicators, Bristol-Myers Squibb may actually be approaching a critical reversion point that can send shares even higher in August 2021.

Bristol-Myers Price Channel

Astrazeneca Plc ADR 
 Astrazeneca Performance
7 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Astrazeneca Plc ADR are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite unfluctuating basic indicators, Astrazeneca Plc may actually be approaching a critical reversion point that can send shares even higher in August 2021.

Astrazeneca Price Channel

Bristol-Myers Squibb and Astrazeneca Plc Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Bristol-Myers Squibb and Astrazeneca Plc

The main advantage of trading using opposite Bristol-Myers Squibb and Astrazeneca Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bristol-Myers Squibb position performs unexpectedly, Astrazeneca Plc can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Astrazeneca Plc will offset losses from the drop in Astrazeneca Plc's long position.

Bristol-Myers Squibb

Pair trading matchups for Bristol-Myers Squibb

The idea behind Bristol-Myers Squibb and Astrazeneca Plc ADR pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Astrazeneca Plc ADR

Pair trading matchups for Astrazeneca Plc

Check out your portfolio center. Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.

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