Correlation Analysis Between EPAM Systems and Digimarc

This module allows you to analyze existing cross correlation between EPAM Systems and Digimarc Corporation. You can compare the effects of market volatilities on EPAM Systems and Digimarc 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 EPAM Systems with a short position of Digimarc. See also your portfolio center. Please also check ongoing floating volatility patterns of EPAM Systems and Digimarc.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

EPAM Systems  
22

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in EPAM Systems are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days. Even with considerably steady technical indicators, EPAM Systems is not utilizing all of its potentials. The late stock price chaos, may contribute to medium term losses for the stakeholders.
Digimarc  
1313

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Digimarc Corporation are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days. Despite somewhat uncertain basic indicators, Digimarc sustained solid returns over the last few months and may actually be approaching a breakup point.

EPAM Systems and Digimarc Volatility Contrast

 Predicted Return Density 
      Returns 

EPAM Systems Inc  vs.  Digimarc Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EPAM Systems is expected to generate 29.34 times less return on investment than Digimarc. But when comparing it to its historical volatility, EPAM Systems is 4.71 times less risky than Digimarc. It trades about 0.03 of its potential returns per unit of risk. Digimarc Corporation is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  2,800  in Digimarc Corporation on May 18, 2019 and sell it today you would earn a total of  2,260  from holding Digimarc Corporation or generate 80.71% return on investment over 30 days.

Pair Corralation between EPAM Systems and Digimarc

-0.54
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for EPAM Systems and Digimarc

EPAM Systems Inc diversification synergy

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding EPAM Systems Inc and Digimarc Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Digimarc and EPAM Systems 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 EPAM Systems are associated (or correlated) with Digimarc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Digimarc has no effect on the direction of EPAM Systems i.e. EPAM Systems and Digimarc go up and down completely randomly.
See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.


 
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