Pair Correlation Between Oracle and VMware

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

Pair Volatility

Given the investment horizon of 30 days, Oracle is expected to generate 4.02 times less return on investment than VMware. But when comparing it to its historical volatility, Oracle Corporation is 1.98 times less risky than VMware. It trades about 0.32 of its potential returns per unit of risk. VMware Inc is currently generating about 0.65 of returns per unit of risk over similar time horizon. If you would invest  5,534  in VMware Inc on June 25, 2016 and sell it today you would earn a total of  1,712  from holding VMware Inc or generate 30.94% return on investment over 30 days.

Correlation Coefficient

-0.13

Parameters

Time Period1 Month [change]
DirectionNegative ORCL Moved Down vs VMW
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Good diversification

Overlapping area represents amount of risk that can be diversified away by holding Oracle Corp. 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
 0.90  0.01 (0.06) 0.23  1.48 (0.07)(0.87) 1.69 (1.91) 4.97 
 1.68  0.67  0.00  1.88  0.00  0.20  0.00  2.65 (5.47) 7.99 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Oracle

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Oracle Corporation are ranked lower than 21 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Oracle

  

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 42 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware