Pair Correlation Between Expedia and Microsoft

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. See also your portfolio center. Please also check ongoing floating volatility patterns of Expedia and Microsoft.
Investment Horizon     30 Days    Login   to change
 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 1.1 times more return on investment than Microsoft. However, Expedia is 1.1 times more volatile than Microsoft Corporation. It trades about 0.48 of its potential returns per unit of risk. Microsoft Corporation is currently generating about -0.05 per unit of risk. If you would invest  11,363  in Expedia Inc on December 25, 2016 and sell it today you would earn a total of  636.00  from holding Expedia Inc or generate 5.6% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Expedia and Microsoft
0.14

Parameters

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

Diversification

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding Expedia Inc. and Microsoft Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Microsoft and Expedia 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 Expedia Inc are associated (or correlated) with Microsoft. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Microsoft has no effect on the direction of Expedia i.e. Expedia and Microsoft 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
 0.64  0.13  0.15  0.39  0.61  0.15 (0.79)  1.16 (0.74)  2.65 
 0.37 (0.08)  0.00 (0.13)  0.00 (0.17)  0.00  0.87 (0.92)  1.83 

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 32 (%) of all global equities and portfolios over the last 30 days.

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.