Pair Correlation Between Salesforce and Expedia Inc

  
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 Inc 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 Inc. Please also check ongoing floating volatility patterns of Salesforce and Expedia Inc.
 salesforce.com inc.  vs   Expedia Inc.
Daily Returns (%)
EXPE   CRM   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, salesforce inc is expected to under-perform the Expedia Inc. In addition to that, Salesforce is 1.49 times more volatile than Expedia Inc. It trades about -0.26 of its total potential returns per unit of risk. Expedia Inc is currently generating about -0.29 per unit of volatility. If you would invest  11,120  in Expedia Inc on January 10, 2016 and sell it today you would lose (1,856) from holding Expedia Inc or give up 16.69% of portfolio value over 30 days.

Correlation Coefficient

0.76

Parameters

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

Diversification

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

Historical Performance Chart

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 Inc