Pair Correlation Between S A P and VMware

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

Pair Volatility

Considering 30-days investment horizon, SAP SE is expected to generate 1.29 times more return on investment than VMware. However, S A P is 1.29 times more volatile than VMware Inc. It trades about 0.19 of its potential returns per unit of risk. VMware Inc is currently generating about -0.05 per unit of risk. If you would invest  8,727  in SAP SE on August 26, 2016 and sell it today you would earn a total of  427.00  from holding SAP SE or generate 4.89% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between S A P and VMware
0.29

Parameters

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

Diversification

Modest 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. The correlation between historical prices or returns on VMware Inc and S A P 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 SAP SE 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 S A P i.e. S A P 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
 0.95  0.24  0.18  0.22  1.02  0.21 (1.00) 1.77 (2.04) 3.89 
 0.73 (0.06) 0.00 (0.14) 0.00 (0.05) 0.00  1.32 (1.30) 3.87 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

SAP SE

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

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.