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Benchmark  United States  NYSE  10,932   2.434 Index Moved Up 0.02%  


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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 under-perform the VMware. But the stock apears to be less risky and, when comparing its historical volatility, SAP AG is 1.84 times less risky than VMware. The stock trades about -0.24 of its potential returns per unit of risk. The VMware Inc is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  9,295  in VMware Inc on July 21, 2014 and sell it today you would earn a total of  1,048  from holding VMware Inc or generate 11.27% return on investment over 30 days.

Correlation Coefficient

0.38
Parameters
Time Period1 Month [change]
DirectionPositive VMW Moved Up vs SAP
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

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
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

  
Compared with the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 17 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware

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