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 2.76 times more return on investment than S A P. However, Expedia is 2.76 times more volatile than SAP AG. It trades about 0.12 of its potential returns per unit of risk. SAP AG is currently generating about -0.21 per unit of risk. If you would invest  10,761  in Expedia Inc on July 30, 2015 and sell it today you would earn a total of  890  from holding Expedia Inc or generate 8.27% return on investment over 30 days.

Correlation Coefficient

0.46

Parameters

Time Period1 Month [change]
DirectionPositive SAP Moved Up vs EXPE
StrengthWeak
Accuracy95.45%
ValuesDaily Returns
  

Diversification

Very weak 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

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia

  

SAP AG

  

Risk-adjusted Performance

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

Pair trading matchups for S A P