Pair Correlation Between S A P and VMware

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between SAP SE 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 SE  vs   VMware Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP SE is expected to under-perform the VMware. In addition to that, S A P is 1.18 times more volatile than VMware Inc. It trades about -0.13 of its total potential returns per unit of risk. VMware Inc is currently generating about -0.15 per unit of volatility. If you would invest  6,056  in VMware Inc on May 30, 2016 and sell it today you would lose (426.00) from holding VMware Inc or give up 7.03% of portfolio value over 30 days.

Correlation Coefficient

0.81

Parameters

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

Diversification

Very poor diversification

Overlapping area represents amount of risk that can be diversified away by holding SAP SE 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
 1.48 (0.42) 0.00  3.65  0.00 (0.08) 0.00  2.54 (2.85) 11.64 
 1.41 (0.15) 0.00 (0.52) 0.00 (0.02) 0.00  2.24 (5.47) 8.09 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SAP SE

  

Risk-adjusted Performance

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

Pair trading matchups for S A P

  

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.

Pair trading matchups for VMware