Pair Correlation Between VMware and Salesforce

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between VMware Inc and salesforce inc. You can compare the effects of market volatilities on VMware and Salesforce 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 VMware with a short position of Salesforce. Please also check ongoing floating volatility patterns of VMware and Salesforce.
 VMware Inc.  vs   salesforce.com inc.
Daily Returns (%)
VMW   CRM   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, VMware is expected to generate 2.84 times less return on investment than Salesforce. But when comparing it to its historical volatility, VMware Inc is 1.09 times less risky than Salesforce. It trades about 0.13 of its potential returns per unit of risk. salesforce inc is currently generating about 0.33 of returns per unit of risk over similar time horizon. If you would invest  7,621  in salesforce inc on April 26, 2016 and sell it today you would earn a total of  801.00  from holding salesforce inc or generate 10.51% return on investment over 30 days.

Correlation Coefficient

0.26

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 VMware Inc. and salesforce.com inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.00  0.16  0.20 (0.57) 0.91  0.19 (1.17) 2.30 (1.62) 3.62 
 0.97  0.40  0.36 (1.11) 0.92  0.34 (1.23) 1.91 (1.22) 4.96 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware

  

salesforce inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in salesforce inc are ranked lower than 21 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Salesforce