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 

Pair Volatility

Given the investment horizon of 30 days, Expedia Inc is expected to generate 0.82 times more return on investment than Microsoft. However, Expedia Inc is 1.23 times less risky than Microsoft. It trades about 0.77 of its potential returns per unit of risk. Microsoft Corporation is currently generating about 0.56 per unit of risk. If you would invest  9,844  in Expedia Inc on June 26, 2016 and sell it today you would earn a total of  1,917  from holding Expedia Inc or generate 19.47% return on investment over 30 days.

Correlation Coefficient

0.45

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 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
 1.40  0.29  0.00  1.36  0.00  0.08  0.00  2.79 (3.26) 7.41 
 1.15  0.39  0.00  2.96  0.00  0.15  0.00  2.22 (2.87) 5.51 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Expedia Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 50 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia

  

Microsoft

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 36 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Microsoft