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 generate 1.36 times more return on investment than VASCO Data. However, Digimarc is 1.36 times more volatile than VASCO Data Security International Inc. It trades about 0.21 of its potential returns per unit of risk. VASCO Data Security International Inc is currently generating about 0.07 per unit of risk. If you would invest  3,310  in Digimarc Corporation on September 18, 2017 and sell it today you would earn a total of  360  from holding Digimarc Corporation or generate 10.88% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Digimarc and VASCO Data
0.88

Parameters

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

Diversification

Very poor 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

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Digimarc Corporation are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

VASCO Data Security

  
5 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VASCO Data Security International Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.