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 is expected to generate 1.07 times less return on investment than Digimarc. But when comparing it to its historical volatility, VASCO Data Security International Inc is 1.17 times less risky than Digimarc. It trades about 0.27 of its potential returns per unit of risk. Digimarc Corporation is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  3,270  in Digimarc Corporation on September 22, 2017 and sell it today you would earn a total of  400  from holding Digimarc Corporation or generate 12.23% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between VASCO Data and Digimarc
0.84

Parameters

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

Diversification

Very poor 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

  
18 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VASCO Data Security International Inc are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.

Digimarc

  
16 

Risk-Adjusted Performance

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