Pair Correlation Between HCP and VMware

  
Investment Horizon     30 Days    Login   to change
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. Please also check ongoing floating volatility patterns of HCP and VMware.
 HCP Inc.  vs   VMware Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, HCP Inc is expected to under-perform the VMware. But the stock apears to be less risky and, when comparing its historical volatility, HCP Inc is 1.06 times less risky than VMware. The stock trades about -0.01 of its potential returns per unit of risk. The VMware Inc is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  7,249  in VMware Inc on August 1, 2016 and sell it today you would earn a total of  84.00  from holding VMware Inc or generate 1.16% return on investment over 30 days.

Correlation Coefficient

0.18

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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.86  0.04  0.03  0.07  1.25  0.03 (0.84) 1.41 (2.12) 3.79 
 0.69  0.20  0.25 (0.32) 0.45  0.21 (0.82) 2.03 (1.24) 3.63 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

HCP Inc

  

Risk-adjusted Performance

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

Pair trading matchups for HCP

  

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware