Pair Correlation Between Expedia and Microsoft

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Expedia Inc and Microsoft Corporation. You can compare the effects of market volatilities on Expedia and Microsoft 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 Expedia with a short position of Microsoft. Please also check ongoing floating volatility patterns of Expedia and Microsoft.
 Expedia Inc.  vs   Microsoft Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia Inc is expected to under-perform the Microsoft. In addition to that, Expedia is 1.41 times more volatile than Microsoft Corporation. It trades about -0.12 of its total potential returns per unit of risk. Microsoft Corporation is currently generating about -0.12 per unit of volatility. If you would invest  5,300  in Microsoft Corporation on May 31, 2016 and sell it today you would lose (246.00) from holding Microsoft Corporation or give up 4.64% of portfolio value over 30 days.

Correlation Coefficient

0.81

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 Expedia Inc. and Microsoft Corp. 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
 1.48 (0.26) 0.00 (1.70) 0.00 (0.06) 0.00  2.93 (3.26) 10.34 
 1.11 (0.17) 0.00 (0.69) 0.00 (0.05) 0.00  2.22 (2.87) 6.19 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

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

  

Microsoft

  

Risk-adjusted Performance

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

Pair trading matchups for Microsoft