Pair Correlation Between Yahoo Inc and VMware Inc

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Yahoo Inc and VMware Inc. You can compare the effects of market volatilities on Yahoo Inc and VMware Inc 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 Yahoo Inc with a short position of VMware Inc. Please also check ongoing floating volatility patterns of Yahoo Inc and VMware Inc.
 Yahoo Inc.  vs   VMware Inc.
Daily Returns (%)
YHOO   VMW   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Yahoo Inc is expected to generate 1.05 times more return on investment than VMware Inc. However, Yahoo Inc is 1.05 times more volatile than VMware Inc. It trades about -0.17 of its potential returns per unit of risk. VMware Inc is currently generating about -0.3 per unit of risk. If you would invest  3,017  in Yahoo Inc on January 9, 2016 and sell it today you would lose (312.00) from holding Yahoo Inc or give up 10.34% of portfolio value over 30 days.

Correlation Coefficient

0.01

Parameters

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

Diversification

Significant diversification

Overlapping area represents amount of risk that can be diversified away by holding Yahoo Inc. and VMware Inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Yahoo Inc

  

Risk-adjusted Performance

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

Pair trading matchups for Yahoo Inc

  

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