Pair Correlation Between Digimarc and VASCO Data

This module allows you to analyze existing cross correlation between Digimarc Corporation and VASCO Data Security International Inc. You can compare the effects of market volatilities on Digimarc and VASCO Data 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 Digimarc with a short position of VASCO Data. See also your portfolio center. Please also check ongoing floating volatility patterns of Digimarc and VASCO Data.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Digimarc Corp.  vs   VASCO Data Security Internatio
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Digimarc Corporation is expected to under-perform the VASCO Data. But the stock apears to be less risky and, when comparing its historical volatility, Digimarc Corporation is 1.09 times less risky than VASCO Data. The stock trades about -0.01 of its potential returns per unit of risk. The VASCO Data Security International Inc is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  1,325  in VASCO Data Security International Inc on November 12, 2017 and sell it today you would earn a total of  75  from holding VASCO Data Security International Inc or generate 5.66% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Digimarc and VASCO Data
0.12

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Average diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Digimarc

  
0 

Risk-Adjusted Performance

Over the last 30 days Digimarc Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.

VASCO Data Security

  
9 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VASCO Data Security International Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.