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 
Given the investment horizon of 30 days, Expedia Inc is expected to under-perform the S A P. But the stock apears to be less risky and, when comparing its historical volatility, Expedia Inc is 1.13 times less risky than S A P. The stock trades about -0.28 of its potential returns per unit of risk. The SAP SE is currently generating about -0.23 of returns per unit of risk over similar time horizon. If you would invest  8,107  in SAP SE on May 28, 2016 and sell it today you would lose (897.00) from holding SAP SE or give up 11.06% of portfolio value over 30 days.

Correlation Coefficient

0.92

Parameters

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

Diversification

Almost no 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
 1.17 (0.28) 0.00 (0.29) 0.00 (0.18) 0.00  1.78 (2.31) 3.13 
 1.30 (0.14) 0.00 (0.19) 0.00 (0.11) 0.00  1.70 (2.85) 3.72 

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

  

SAP SE

  

Risk-adjusted Performance

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

Pair trading matchups for S A P