Correlation Analysis Between VMware and Microsoft

       
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between VMware Inc and Microsoft Corporation. You can compare the effects of market volatilities on VMware and Microsoft 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 Microsoft. Please also check ongoing floating volatility patterns of VMware and Microsoft.
 VMware Inc.  vs   Microsoft Corp.
Daily Returns (%)
VMW   MSFT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, VMware Inc is expected to under-perform the Microsoft. But the stock apears to be less risky and, when comparing its historical volatility, VMware Inc is 1.1 times less risky than Microsoft. The stock trades about -0.29 of its potential returns per unit of risk. The Microsoft Corporation is currently generating about -0.2 of returns per unit of risk over similar time horizon. If you would invest  4,681  in Microsoft Corporation on August 2, 2015 and sell it today you would lose (478.50) from holding Microsoft Corporation or give up 10.22% of portfolio value over 30 days.

Correlation Coefficient

0.2

Parameters

Time Period1 Month [change]
DirectionPositive MSFT Moved Up vs VMW
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 Microsoft Corp. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

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

  

Microsoft

  

Risk-adjusted Performance

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

Pair trading matchups for Microsoft