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   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, SAP AG is expected to generate 0.61 times more return on investment than VMware. However, SAP AG is 1.63 times less risky than VMware. It trades about -0.2 of its potential returns per unit of risk. VMware Inc is currently generating about -0.26 per unit of risk. If you would invest  7,164  in SAP AG on July 30, 2015 and sell it today you would lose (418.00) from holding SAP AG or give up 5.83% of portfolio value over 30 days.

Correlation Coefficient

0.09

Parameters

Time Period1 Month [change]
DirectionPositive VMW Moved Up vs SAP
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns
  

Diversification

Significant 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

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

  

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