Pair Correlation Between Expedia and VMware

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Expedia Inc and VMware Inc. You can compare the effects of market volatilities on Expedia and VMware 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 VMware. Please also check ongoing floating volatility patterns of Expedia and VMware.
 Expedia Inc.  vs   VMware Inc.
Daily Returns (%)
VMW   EXPE   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia is expected to generate 1.38 times less return on investment than VMware. But when comparing it to its historical volatility, Expedia Inc is 1.43 times less risky than VMware. It trades about 0.13 of its potential returns per unit of risk. VMware Inc is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  5,100  in VMware Inc on April 6, 2016 and sell it today you would earn a total of  440.00  from holding VMware Inc or generate 8.63% return on investment over 30 days.

Correlation Coefficient

0.06

Parameters

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

Diversification

Significant diversification

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

Historical Performance Chart

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.49  0.33  0.13 (0.85) 1.23  0.09 (1.77) 2.56 (2.05) 9.81 
 1.74  0.33  0.25  0.47  0.90  0.10 (2.46) 2.98 (1.62) 15.97 

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

Pair trading matchups for Expedia

  

VMware Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for VMware