Pair Correlation Between Expedia and S A P

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Expedia Inc and SAP SE. You can compare the effects of market volatilities on Expedia and S A P 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 S A P. Please also check ongoing floating volatility patterns of Expedia and S A P.
 Expedia Inc.  vs   SAP SE
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Given the investment horizon of 30 days, Expedia Inc is expected to generate 0.89 times more return on investment than S A P. However, Expedia Inc is 1.13 times less risky than S A P. It trades about 0.48 of its potential returns per unit of risk. SAP SE is currently generating about 0.38 per unit of risk. If you would invest  10,176  in Expedia Inc on June 24, 2016 and sell it today you would earn a total of  1,544  from holding Expedia Inc or generate 15.17% return on investment over 30 days.

Correlation Coefficient

0.35

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.45%
ValuesDaily Returns
  

Diversification

Weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Expedia Inc. and SAP SE 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
 1.44  0.17  0.00  0.25  0.00  0.11  0.00  2.79 (3.26) 9.18 
 1.47  0.20  0.02  2.37  2.88  0.03 (1.68) 2.69 (2.60) 8.79 

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

Pair trading matchups for Expedia

  

SAP SE

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for S A P