Pair Correlation Between Microsoft and Red Hat

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

Pair Volatility

Given the investment horizon of 30 days, Microsoft is expected to generate 3.29 times less return on investment than Red Hat. But when comparing it to its historical volatility, Microsoft Corporation is 1.68 times less risky than Red Hat. It trades about 0.27 of its potential returns per unit of risk. Red Hat Inc is currently generating about 0.52 of returns per unit of risk over similar time horizon. If you would invest  10,699  in Red Hat Inc on September 20, 2017 and sell it today you would earn a total of  1,461  from holding Red Hat Inc or generate 13.66% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Microsoft and Red Hat
0.93

Parameters

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

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Microsoft

  
18 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.

Red Hat Inc

  
35 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Red Hat Inc are ranked lower than 35 (%) of all global equities and portfolios over the last 30 days.