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 Inc is expected to generate 0.62 times more return on investment than Oracle. However, VMware Inc is 1.62 times less risky than Oracle. It trades about -0.03 of its potential returns per unit of risk. Oracle Corporation is currently generating about -0.15 per unit of risk. If you would invest  7,378  in VMware Inc on September 1, 2016 and sell it today you would lose (43.00) from holding VMware Inc or give up 0.58% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between VMware and Oracle
0.47

Parameters

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

Diversification

Very weak 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
 0.62 (0.03) 0.06  0.02  0.96  0.08 (0.53) 0.81 (1.25) 3.87 
 0.88 (0.27) 0.00  0.33  0.00 (0.11) 0.00  1.52 (1.69) 6.37 

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.

Oracle

  

Risk-adjusted Performance

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