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Correlation analysis 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

Change Benchmark

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Timeline

Given the investment horizon of 30 days, Expedia Inc is expected to generate 0.99 times more return on investment than VMware. However, Expedia Inc is 1.01 times less risky than VMware. It trades about 0.11 of its potential returns per unit of risk. VMware Inc is currently generating about 0.02 per unit of risk. If you would invest 7,731 in Expedia Inc on June 25, 2014 and sell it today you would earn a total of 259.00 from holding Expedia Inc or generate 3.35% return on investment over 30 days.

Diversification

Weak 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

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Correlation Coefficient

0.38

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

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Historical Performance Chart

Tangent Of Price Move

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
EXPE	1.31	0.10	0.09	0.07	1.38	0.08	(1.55)	2.52	(2.49)	5.09	Backtest
VMW	1.36	(0.01)	0.00	0.02	1.28	0.0031	(1.82)	2.34	(1.93)	4.89	Backtest

Comparative Volatility

Predicted Return Density

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Returns:

VMW

EXPE

Expedia Inc

Premiums

Correlation

Profile

Compared with the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

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Backtest

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VMware Inc

Premiums

Correlation

Profile

Compared with the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

Check Performance

Backtest

Predict Price

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