Pair Correlation Between Expedia and Oracle

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Expedia Inc and Oracle Corporation. You can compare the effects of market volatilities on Expedia and Oracle 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 Oracle. Please also check ongoing floating volatility patterns of Expedia and Oracle.
 Expedia Inc.  vs   Oracle Corp.
 Daily Returns (%) 
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia Inc is expected to under-perform the Oracle. In addition to that, Expedia is 1.27 times more volatile than Oracle Corporation. It trades about -0.21 of its total potential returns per unit of risk. Oracle Corporation is currently generating about -0.05 per unit of volatility. If you would invest  3,995  in Oracle Corporation on May 26, 2016 and sell it today you would lose (72.00) from holding Oracle Corporation or give up 1.8% of portfolio value over 30 days.

Correlation Coefficient

0.51

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 Oracle 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
 1.17 (0.37) 0.00  0.54  0.00 (0.30) 0.00  1.78 (2.31) 3.13 
 1.01 (0.03) 0.00  0.16  0.00 (0.14) 0.00  2.05 (3.92) 4.30 

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

  

Oracle

  

Risk-adjusted Performance

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

Pair trading matchups for Oracle