Pair Correlation 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 (%) 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, VMware Inc is expected to generate 1.25 times more return on investment than Microsoft. However, VMware is 1.25 times more volatile than Microsoft Corporation. It trades about -0.06 of its potential returns per unit of risk. Microsoft Corporation is currently generating about -0.14 per unit of risk. If you would invest  6,004  in VMware Inc on May 25, 2016 and sell it today you would lose (150.00) from holding VMware Inc or give up 2.5% of portfolio value over 30 days.

Correlation Coefficient

0.68

Parameters

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

Diversification

Poor 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.13 (0.04) 0.00  0.18  0.00 (0.13) 0.00  2.24 (2.02) 4.31 
 0.90 (0.19) 0.00  2.51  0.00 (0.23) 0.00  1.80 (2.60) 3.90 

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