Novartis Correlations

NVSEF Stock

USD 107.86 1.25 1.17%

The current 90-days correlation between Novartis AG and Roche Holding AG is 0.02 (i.e., Significant 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.

Novartis Correlation With Market

Good diversification

The correlation between Novartis AG and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Novartis AG and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Novartis could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Novartis when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Novartis - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Novartis AG to buy it.

Moving together with Novartis Pink Sheet

0.71	LLY	Eli Lilly	Pair Corr
0.95	JNJ	Johnson Johnson	Pair Corr
0.9	RHHBF	Roche Holding AG	Pair Corr
0.94	RHHBY	Roche Holding	Pair Corr
0.94	RHHVF	Roche Holding AG	Pair Corr
0.93	AZN	AstraZeneca PLC ADR	Pair Corr
0.94	NVS	Novartis AG ADR	Pair Corr
0.91	AZNCF	AstraZeneca PLC	Pair Corr
0.8	CTDD	Qwest Corp 6	Pair Corr
0.81	CTBB	Qwest Corp NT	Pair Corr
0.9	RBKB	Rhinebeck Bancorp	Pair Corr
0.88	CHKP	Check Point Software	Pair Corr
0.84	ASA	ASA Gold Normal Trading	Pair Corr
0.63	SATS	EchoStar	Pair Corr
0.88	037833DN7	APPLE INC	Pair Corr
0.69	RBC	RBC Bearings	Pair Corr

Moving against Novartis Pink Sheet

0.55	UHAL-B	U Haul Holding	Pair Corr
0.54	MRK	Merck Company	Pair Corr
0.38	HYMTF	Hyundai Motor	Pair Corr
0.51	DRFS	Dr Foods	Pair Corr

Related Correlations Analysis

	RHHBF	AZNCF	RHHBY	SNY	BMYMP	BAYZF	ALPMF	RHHVF	SCLXW	NVS
RHHBF		0.92	0.93	0.91	0.62	0.9	0.01	0.95	-0.81	0.92	RHHBF
AZNCF	0.92		0.93	0.91	0.59	0.89	0.01	0.94	-0.83	0.92	AZNCF
RHHBY	0.93	0.93		0.97	0.71	0.93	-0.09	0.98	-0.86	0.97	RHHBY
SNY	0.91	0.91	0.97		0.71	0.95	-0.1	0.95	-0.83	0.95	SNY
BMYMP	0.62	0.59	0.71	0.71		0.7	-0.18	0.72	-0.55	0.68	BMYMP
BAYZF	0.9	0.89	0.93	0.95	0.7		0.05	0.94	-0.84	0.91	BAYZF
ALPMF	0.01	0.01	-0.09	-0.1	-0.18	0.05		-0.05	-0.06	0.04	ALPMF
RHHVF	0.95	0.94	0.98	0.95	0.72	0.94	-0.05		-0.85	0.96	RHHVF
SCLXW	-0.81	-0.83	-0.86	-0.83	-0.55	-0.84	-0.06	-0.85		-0.86	SCLXW
NVS	0.92	0.92	0.97	0.95	0.68	0.91	0.04	0.96	-0.86		NVS
	RHHBF	AZNCF	RHHBY	SNY	BMYMP	BAYZF	ALPMF	RHHVF	SCLXW	NVS

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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

RHHVF	+ 0.98	RHHBY
SNY	+ 0.97	RHHBY
NVS	+ 0.97	RHHBY
NVS	+ 0.96	RHHVF
RHHVF	+ 0.95	RHHBF
BAYZF	+ 0.95	SNY

High negative correlations

NVS	- 0.86	SCLXW
SCLXW	- 0.86	RHHBY
SCLXW	- 0.85	RHHVF
SCLXW	- 0.84	BAYZF
SCLXW	- 0.83	SNY
SCLXW	- 0.83	AZNCF

Risk-Adjusted Indicators

There is a big difference between Novartis Pink Sheet 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
RHHBF	2.32	0.22	0.10	(0.40)	2.72	(3.35)	6.60	(6.02)	17.19
AZNCF	1.98	0.18	0.10	(0.78)	2.34	(2.19)	3.67	(4.11)	18.21
RHHBY	1.04	0.30	0.27	0.88	0.96	(1.13)	2.63	(1.92)	5.52
SNY	1.17	0.29	0.28	(1.69)	0.99	(1.43)	2.77	(1.82)	10.59
BMYMP	3.97	0.76	0.10	0.99	4.59	(6.11)	12.92	(8.24)	41.09
BAYZF	1.59	0.38	0.24	1.69	1.35	(2.04)	4.02	(2.58)	12.61
ALPMF	0.69	(0.04)	0.00	(0.46)	0.00	0.00	2.11	(2.76)	10.41
RHHVF	1.18	0.30	0.28	(3.88)	1.01	(1.31)	2.72	(2.07)	6.16
SCLXW	11.12	(0.18)	0.00	0.18	0.00	0.00	25.00	(29.83)	117.17
NVS	0.95	0.25	0.25	0.82	0.98	(1.12)	2.39	(2.12)	7.69

Be your own money manager

Our tools can tell you how much better you can do entering a position in Novartis without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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Novartis Corporate Management

Richard Saynor	Chief Sandoz	Profile
Steffen Lang	Global Head of Novartis Technical Operations, Member of the Executive Committee	Profile
MarieFrance Tschudin	Pres Officer	Profile
Paul Penepent	Head Accounting	Profile
Samir MD	Global Relations	Profile
Robert PharmD	Chief Officer	Profile
Klaus Moosmayer	Chief Ethics Risk and Compliance Officer, Member of the Executive Committee	Profile

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