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Benchmark  United States  NYSE  10,537   154.414 Index Moved Down -1.44%  


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Collecting data for EXPE and VMW ...

Correlation analysis between Expedia and VMware Correlation analysis between Expedia and VMware

 
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Investment horizon:  
  30 Days    Login   to change
  
Run Correlation
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 Inc is expected to generate 0.77 times more return on investment than VMware. However, Expedia Inc is 1.3 times less risky than VMware. It trades about 0.01 of its potential returns per unit of risk. VMware Inc is currently generating about -0.12 per unit of risk. If you would invest  8,576  in Expedia Inc on January 2, 2015 and sell it today you would earn a total of  17.00  from holding Expedia Inc or generate 0.2% return on investment over 30 days.

Correlation Coefficient

0.18

Parameters

Time Period1 Month [change]
DirectionPositive VMW Moved Up vs EXPE
StrengthInsignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Average 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

Directional Movement
Moving Averages
Balance Of Power
Bollinger Bands
Commodity Channel
Price Ceiling
Money Flow Index
Pattern Detection
Tangent Of Price Move
On Balance Volume
Price Depth
Rate of Change
Mean
Deviation		Jensen
Alpha		Sortino
Ratio		Treynor
Ratio		Semi
Deviation		Information
Ratio		Expected
Shortfall		Potential
Upside		Value
At Risk		Maximum
Drawdown
EXPE
 1.08  0.04  0.00  0.00  0.00  0.08  0.00  2.02 (2.89) 7.77 
Backtest
VMW
 1.56 (0.15) 0.00 (0.26) 0.00 (0.08) 0.00  2.33 (2.82) 9.62 
Backtest

Comparative Volatility

Predicted Return Density
 
Benchmark  Embed   Returns 

Expedia Inc

Premiums
 
Correlation
 
Profile
Over the last 30 days Expedia Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Check Performance
Backtest
Predict Price

Pair trading matchups for Expedia

Hilton Worldwide Holdings Inc vs. Expedia Inc
Starwood Hotels Resorts Worldwide Inc vs. Expedia Inc
Wyndham Worldwide Corporation vs. Expedia Inc
Intercontinental Hotels Group plc vs. Expedia Inc
Ctrip International Ltd vs. Expedia Inc
Extended Stay America Inc vs. Expedia Inc
Choice Hotels International Inc vs. Expedia Inc
ASIAN HOTELS LTD vs. Expedia Inc
Home Inns Hotels Management Inc vs. Expedia Inc
  

VMware Inc

Premiums
 
Correlation
 
Profile
Over the last 30 days VMware Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Check Performance
Backtest
Predict Price

Pair trading matchups for VMware

Infosys Ltd vs. VMware Inc
Autodesk Inc vs. VMware Inc
Concur Technologies Inc vs. VMware Inc
PTC Inc vs. VMware Inc
National Instruments Corporation vs. VMware Inc
Tyler Technologies Inc vs. VMware Inc
Mentor Graphics Corp vs. VMware Inc
ACI Worldwide Inc vs. VMware Inc
ScanSource Inc vs. VMware Inc


 

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