Macroaxis: Personalized Investing

Personalized Investing and

Digital Wealth Optimization

Benchmark  United States  NYSE  10,845   53.8164 Index Moved Down -0.4938%  


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Collecting data for EXPE and SAP ...

Correlation analysis 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 AG. 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 AG
Daily Returns (%)
SAP   EXPE   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia Inc is expected to generate 0.84 times more return on investment than S A P. However, Expedia Inc is 1.2 times less risky than S A P. It trades about 0.08 of its potential returns per unit of risk. SAP AG is currently generating about 0.05 per unit of risk. If you would invest  9,218  in Expedia Inc on March 2, 2015 and sell it today you would earn a total of  195.00  from holding Expedia Inc or generate 2.12% return on investment over 30 days.

Correlation Coefficient

0.77

Parameters

Time Period1 Month [change]
DirectionPositive SAP Moved Up vs EXPE
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents amount of risk that can be diversified away by holding Expedia Inc. and SAP AG in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Expedia Inc

  
Compared with the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia

Hilton Worldwide Holdings Inc vs. Expedia Inc
Marriott International Inc vs. Expedia Inc
Starwood Hotels Resorts Worldwide Inc vs. Expedia Inc
Choice Hotels International Inc vs. Expedia Inc
  

SAP AG

  
Compared with the overall equity markets, risk-adjusted returns on investments in SAP AG are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for S A P

Oracle Corporation vs. SAP AG
Salesforce Inc vs. SAP AG
Adobe Systems Inc vs. SAP AG
Intuit Inc vs. SAP AG
Red Hat Inc vs. SAP AG
Mobileye NV vs. SAP AG
Bank of America Corporation vs. SAP AG
Ansys Inc vs. SAP AG
Splunk Inc vs. SAP AG