Pair Correlation Between Salesforce and Expedia

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. See also your portfolio center.Please also check ongoing floating volatility patterns of Salesforce and Expedia.
Investment Horizon     30 Days    Login   to change
 salesforce.com inc.  vs   Expedia Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, salesforce inc is expected to under-perform the Expedia. But the stock apears to be less risky and, when comparing its historical volatility, salesforce inc is 1.09 times less risky than Expedia. The stock trades about -0.36 of its potential returns per unit of risk. The Expedia Inc is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  10,980  in Expedia Inc on August 29, 2016 and sell it today you would earn a total of  330.00  from holding Expedia Inc or generate 3.01% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Salesforce and Expedia
-0.13

Parameters

Time Period1 Month [change]
DirectionNegative CRM Moved Down vs EXPE
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good 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. The correlation between historical prices or returns on Expedia Inc and Salesforce 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 salesforce inc are associated (or correlated) with Expedia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Expedia Inc has no effect on the direction of Salesforce i.e. Salesforce and Expedia go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.02 (0.63) 0.00  1.33  0.00 (0.33) 0.00  1.04 (4.42) 7.37 
 1.34  0.04  0.08 (0.14) 1.61  0.08 (1.42) 3.67 (2.57) 7.31 

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.

Expedia Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.