Benchmark  United States  NYSE  10,790   133.5664  1.2534% 


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Correlation analysis between S A P and VMware

    
  
Summary
Performance
TechnicalsRecomendation
   Valuation
   Backtest
   Forecast
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   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP AG is expected to generate 1.0 times more return on investment than VMware. However, SAP AG is 1.0 times less risky than VMware. It trades about 0.08 of its potential returns per unit of risk. VMware Inc is currently generating about 0.03 per unit of risk. If you would invest  7,068  in SAP AG on June 28, 2015 and sell it today you would earn a total of  158.00  from holding SAP AG or generate 2.24% return on investment over 30 days.

Correlation Coefficient

0.43

Parameters

Time Period1 Month [change]
DirectionPositive VMW Moved Up vs SAP
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

SAP AG

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SAP AG are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for S A P

Oracle Corporation vs. SAP AG
Salesforce Inc vs. SAP AG
Adobe Systems Inc vs. SAP AG
Intuit Inc vs. SAP AG
Red Hat Inc vs. SAP AG
Mobileye NV vs. SAP AG
Splunk Inc vs. SAP AG
Tableau Software Inc vs. SAP AG
Bank of America Corporation vs. SAP AG
  

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware

Autodesk Inc vs. VMware Inc
National Instruments Corporation vs. VMware Inc