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 (%)
VMW   MSFT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, VMware Inc is expected to generate 1.79 times more return on investment than Microsoft. However, VMware is 1.79 times more volatile than Microsoft Corporation. It trades about 0.14 of its potential returns per unit of risk. Microsoft Corporation is currently generating about -0.21 per unit of risk. If you would invest  5,070  in VMware Inc on April 5, 2016 and sell it today you would earn a total of  466.00  from holding VMware Inc or generate 9.19% return on investment over 30 days.

Correlation Coefficient

-0.08

Parameters

Time Period1 Month [change]
DirectionNegative VMW Moved Down vs MSFT
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Good 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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.74  0.38  0.28  0.57  0.93  0.11 (2.52) 2.98 (1.62) 15.97 
 1.18 (0.41) 0.00 (4.23) 0.00 (0.26) 0.00  1.46 (1.98) 8.63 

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

  

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