Pair Correlation Between VASCO Data and Digimarc

This module allows you to analyze existing cross correlation between VASCO Data Security International Inc and Digimarc Corporation. You can compare the effects of market volatilities on VASCO Data and Digimarc 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 VASCO Data with a short position of Digimarc. See also your portfolio center. Please also check ongoing floating volatility patterns of VASCO Data and Digimarc.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 VASCO Data Security Internatio  vs   Digimarc Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, VASCO Data Security International Inc is expected to generate 1.04 times more return on investment than Digimarc. However, VASCO Data is 1.04 times more volatile than Digimarc Corporation. It trades about 0.25 of its potential returns per unit of risk. Digimarc Corporation is currently generating about -0.03 per unit of risk. If you would invest  1,285  in VASCO Data Security International Inc on November 15, 2017 and sell it today you would earn a total of  135  from holding VASCO Data Security International Inc or generate 10.51% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between VASCO Data and Digimarc
-0.06

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding VASCO Data Security Internatio and Digimarc Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Digimarc and VASCO Data 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 VASCO Data Security International Inc are associated (or correlated) with Digimarc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Digimarc has no effect on the direction of VASCO Data i.e. VASCO Data and Digimarc go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

VASCO Data Security

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VASCO Data Security International Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Digimarc

  
0 

Risk-Adjusted Performance

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