Pair Correlation Between VMware and Salesforce

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. See also your portfolio center. Please also check ongoing floating volatility patterns of VMware and Salesforce.
Investment Horizon     30 Days    Login   to change
 VMware Inc.  vs   salesforce.com inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, VMware is expected to generate 4.19 times less return on investment than Salesforce. But when comparing it to its historical volatility, VMware Inc is 1.35 times less risky than Salesforce. It trades about 0.12 of its potential returns per unit of risk. salesforce inc is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest  6,985  in salesforce inc on December 24, 2016 and sell it today you would earn a total of  639.00  from holding salesforce inc or generate 9.15% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between VMware and Salesforce
0.52

Parameters

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

Diversification

Very weak diversification

Overlapping area represents the 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. The correlation between historical prices or returns on salesforce inc and VMware 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 VMware Inc are associated (or correlated) with Salesforce. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of salesforce inc has no effect on the direction of VMware i.e. VMware and Salesforce 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
 0.73  0.05  0.04  0.06  0.99  0.05 (0.80)  1.58 (1.17)  3.73 
 0.86  0.37  0.58  0.18  0.00  0.33 (1.12)  3.04 (1.00)  4.02 

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.

salesforce inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in salesforce inc are ranked lower than 26 (%) of all global equities and portfolios over the last 30 days.