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 (%) 
Benchmark  Embed   Timeline 
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 1.47 times less risky than Expedia. The stock trades about -0.13 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  11,125  in Expedia Inc on May 31, 2016 and sell it today you would lose (508.00) from holding Expedia Inc or give up 4.57% of portfolio value over 30 days.

Correlation Coefficient

0.87

Parameters

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

Diversification

Very poor 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.08 (0.24) 0.00 (1.86) 0.00 (0.08) 0.00  1.95 (3.05) 6.70 
 1.48 (0.26) 0.00 (1.70) 0.00 (0.06) 0.00  2.93 (3.26) 10.34 

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

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

Pair trading matchups for Expedia