Pair Correlation Between Salesforce and Expedia

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between salesforce inc and Expedia Inc. You can compare the effects of market volatilities on Salesforce and Expedia 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 Salesforce with a short position of Expedia. Please also check ongoing floating volatility patterns of Salesforce and Expedia.
 salesforce.com inc.  vs   Expedia Inc.
Daily Returns (%)
EXPE   CRM   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Salesforce is expected to generate 40.6 times less return on investment than Expedia. But when comparing it to its historical volatility, salesforce inc is 2.53 times less risky than Expedia. It trades about 0.01 of its potential returns per unit of risk. Expedia Inc is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  10,820  in Expedia Inc on April 1, 2016 and sell it today you would earn a total of  757.00  from holding Expedia Inc or generate 7.0% return on investment over 30 days.

Correlation Coefficient

0.51

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 salesforce.com inc. and Expedia 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
 0.80  0.08  0.03  0.33  0.67  0.02 (1.00) 2.26 (1.40) 4.04 
 1.55  0.28  0.13  0.51  1.36  0.11 (1.73) 2.56 (2.83) 5.69 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

salesforce inc

  

Risk-adjusted Performance

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

Pair trading matchups for Salesforce

  

Expedia Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia