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
 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 1.11 times more return on investment than S A P. However, Expedia is 1.11 times more volatile than SAP SE. It trades about 0.09 of its potential returns per unit of risk. SAP SE is currently generating about 0.07 per unit of risk. If you would invest  12,120  in Expedia Inc on November 11, 2016 and sell it today you would earn a total of  285.50  from holding Expedia Inc or generate 2.36% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Expedia and S A P
0.25

Parameters

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

Diversification

Modest 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. 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.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.03 (0.17)(0.17) 0.02  1.07 (0.15)(1.28) 2.22 (1.73) 5.41 
 1.01 (0.39) 0.00 (0.06) 0.00 (0.25) 0.00  1.75 (1.82) 3.32 

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

SAP SE

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.