Pair Correlation Between HCP and VMware

This module allows you to analyze existing cross correlation between HCP Inc and VMware Inc. You can compare the effects of market volatilities on HCP and VMware 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 HCP with a short position of VMware. See also your portfolio center.Please also check ongoing floating volatility patterns of HCP and VMware.
Investment Horizon     30 Days    Login   to change
 HCP Inc.  vs   VMware Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, HCP Inc is expected to generate 1.12 times more return on investment than VMware. However, HCP is 1.12 times more volatile than VMware Inc. It trades about 0.21 of its potential returns per unit of risk. VMware Inc is currently generating about 0.19 per unit of risk. If you would invest  2,809  in HCP Inc on November 11, 2016 and sell it today you would earn a total of  195.00  from holding HCP Inc or generate 6.94% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between HCP and VMware
0.17

Parameters

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

Diversification

Average diversification

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

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.14  0.04 (0.02) 0.28  1.40 (0.02)(1.32) 2.55 (3.09) 7.78 
 0.93 (0.03)(0.01) 0.20  1.16 (0.0085)(1.06) 2.17 (1.05) 7.03 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

HCP Inc

  

Risk-adjusted Performance

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

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days.