Pair Correlation Between VMware and Oracle

This module allows you to analyze existing cross correlation between VMware Inc and Oracle Corporation. You can compare the effects of market volatilities on VMware and Oracle 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 Oracle. See also your portfolio center.Please also check ongoing floating volatility patterns of VMware and Oracle.
Investment Horizon     30 Days    Login   to change
 VMware Inc.  vs   Oracle Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, VMware is expected to generate 2.57 times less return on investment than Oracle. In addition to that, VMware is 1.25 times more volatile than Oracle Corporation. It trades about 0.02 of its total potential returns per unit of risk. Oracle Corporation is currently generating about 0.06 per unit of volatility. If you would invest  3,803  in Oracle Corporation on November 2, 2016 and sell it today you would earn a total of  53.00  from holding Oracle Corporation or generate 1.39% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between VMware and Oracle
0.6

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 Oracle Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Oracle 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 Oracle. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oracle has no effect on the direction of VMware i.e. VMware and Oracle 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
 0.95  0.06 (0.10)(0.01) 1.33 (0.10)(1.06) 2.17 (1.21) 4.25 
 0.74  0.04 (0.08)(0.31) 1.36 (0.10)(0.66) 1.39 (1.12) 3.08 

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 1 (%) of all global equities and portfolios over the last 30 days.

Oracle

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Oracle Corporation are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.