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Benchmark  United States  NYSE  10,911   64.596 Index Moved Down -0.59%  


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Collecting data for SAP and VMW ...

Correlation analysis between S A P and VMware

   
Investment horizon:  
  30 Days    Login   to change
This module allows you to analyze existing cross correlation between SAP AG and VMware Inc. You can compare the effects of market volatilities on S A P 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 S A P with a short position of VMware. Please also check ongoing floating volatility patterns of S A P and VMware.
 
 SAP AG  vs   VMware Inc.
Daily Returns (%)
SAP   VMW   
 
Change Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP AG is expected to generate 0.68 times more return on investment than VMware. However, SAP AG is 1.48 times less risky than VMware. It trades about 0.02 of its potential returns per unit of risk. VMware Inc is currently generating about -0.33 per unit of risk. If you would invest  7,728  in SAP AG on August 16, 2014 and sell it today you would earn a total of  15.00  from holding SAP AG or generate 0.19% return on investment over 30 days.

Correlation Coefficient

-0.42
Parameters
Time Period1 Month [change]
DirectionNegative SAP Moved Down vs VMW
StrengthVery Weak
Accuracy95.0%
ValuesDaily Returns

Diversification

Very good diversification
Overlapping area represents amount of risk that can be diversified away by holding SAP AG and VMware Inc. in the same portfolio assuming nothing else is changed
Investing ideals could easily outperform a given market if properly optimized
  
VMware Report  
  
S A P Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
SAP   VMW   

SAP AG

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

Pair trading matchups for S A P

Oracle Corporation vs. SAP AG
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VMware Inc

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

Pair trading matchups for VMware

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