Pair Correlation Between Oracle and VMware

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

Pair Volatility

Given the investment horizon of 30 days, Oracle Corporation is expected to under-perform the VMware. In addition to that, Oracle is 1.53 times more volatile than VMware Inc. It trades about -0.18 of its total potential returns per unit of risk. VMware Inc is currently generating about -0.07 per unit of volatility. If you would invest  7,425  in VMware Inc on August 30, 2016 and sell it today you would lose (110.00) from holding VMware Inc or give up 1.48% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Oracle and VMware
0.43

Parameters

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

Diversification

Very weak 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. The correlation between historical prices or returns on VMware Inc and Oracle 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 Oracle Corporation 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 Oracle i.e. Oracle 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
 0.83 (0.24) 0.00  0.32  0.00 (0.13) 0.00  1.52 (1.69) 6.37 
 0.69 (0.10) 0.00  0.27  0.00 (0.06) 0.00  0.81 (1.30) 3.87 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Oracle

  

Risk-adjusted Performance

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

VMware Inc

  

Risk-adjusted Performance

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