Pair Correlation Between Yahoo and VMware

  
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 and VMware 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 with a short position of VMware. Please also check ongoing floating volatility patterns of Yahoo and VMware.
 Yahoo Inc.  vs   VMware Inc.
Daily Returns (%)
YHOO   VMW   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Yahoo Inc is expected to under-perform the VMware. In addition to that, Yahoo is 1.42 times more volatile than VMware Inc. It trades about 0.0 of its total potential returns per unit of risk. VMware Inc is currently generating about 0.06 per unit of volatility. If you would invest  5,849  in VMware Inc on April 27, 2016 and sell it today you would earn a total of  88.00  from holding VMware Inc or generate 1.5% return on investment over 30 days.

Correlation Coefficient

0.14

Parameters

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

Diversification

Average 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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.18 (0.05) 0.00  0.02  0.00  0.01  0.00  2.74 (1.49) 7.91 
 0.98  0.05  0.09 (0.14) 0.98  0.08 (1.15) 2.30 (1.62) 3.59 

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

  

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware