Pair Correlation Between Amdocs Limited and Microsoft

This module allows you to analyze existing cross correlation between Amdocs Limited and Microsoft Corporation. You can compare the effects of market volatilities on Amdocs Limited and Microsoft 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 Amdocs Limited with a short position of Microsoft. See also your portfolio center. Please also check ongoing floating volatility patterns of Amdocs Limited and Microsoft.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Amdocs Limited  vs   Microsoft Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Amdocs Limited is expected to under-perform the Microsoft. But the stock apears to be less risky and, when comparing its historical volatility, Amdocs Limited is 1.44 times less risky than Microsoft. The stock trades about -0.07 of its potential returns per unit of risk. The Microsoft Corporation is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  7,863  in Microsoft Corporation on October 25, 2017 and sell it today you would earn a total of  448  from holding Microsoft Corporation or generate 5.7% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Amdocs Limited and Microsoft
-0.66

Parameters

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

Diversification

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding Amdocs Limited and Microsoft Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Microsoft and Amdocs Limited 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 Amdocs Limited are associated (or correlated) with Microsoft. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Microsoft has no effect on the direction of Amdocs Limited i.e. Amdocs Limited and Microsoft go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Amdocs Limited

  
0 

Risk-Adjusted Performance

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

Microsoft

  
11 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.