Pair Correlation Between Expedia and S A P

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. See also your portfolio center. Please also check ongoing floating volatility patterns of Expedia and S A P.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Expedia Inc.  vs   SAP SE
 Performance (%) 
Benchmark  Embed    Timeline 

Pair Volatility

Given the investment horizon of 30 days, Expedia Inc is expected to generate 0.88 times more return on investment than S A P. However, Expedia Inc is 1.14 times less risky than S A P. It trades about 0.15 of its potential returns per unit of risk. SAP SE is currently generating about 0.1 per unit of risk. If you would invest  12,946  in Expedia Inc on March 30, 2017 and sell it today you would earn a total of  426.00  from holding Expedia Inc or generate 3.29% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Expedia and S A P
0.65

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Expedia Inc. and SAP SE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SAP SE 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 S A P. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAP SE has no effect on the direction of Expedia i.e. Expedia and S A P go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

Expedia Inc

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.

SAP SE

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.