Pair Correlation Between VMware Inc and Microsoft Corporation

  
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 Inc and Microsoft Corporation 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 Inc with a short position of Microsoft Corporation. Please also check ongoing floating volatility patterns of VMware Inc and Microsoft Corporation.
 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 Corporation. In addition to that, VMware Inc is 1.14 times more volatile than Microsoft Corporation. It trades about -0.33 of its total potential returns per unit of risk. Microsoft Corporation is currently generating about -0.07 per unit of volatility. If you would invest  5,233  in Microsoft Corporation on January 8, 2016 and sell it today you would lose (217.00) from holding Microsoft Corporation or give up 4.15% of portfolio value over 30 days.

Correlation Coefficient

0.38

Parameters

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

Diversification

Weak 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 Inc

  

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 Corporation