Pair Correlation Between Expedia and VMware

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. See also your portfolio center. Please also check ongoing floating volatility patterns of Expedia and VMware.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Expedia Inc  vs   VMware Inc
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Expedia is expected to generate 8.95 times less return on investment than VMware. In addition to that, Expedia is 1.53 times more volatile than VMware Inc. It trades about 0.01 of its total potential returns per unit of risk. VMware Inc is currently generating about 0.15 per unit of volatility. If you would invest  10,468  in VMware Inc on August 27, 2017 and sell it today you would earn a total of  284.00  from holding VMware Inc or generate 2.71% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Expedia and VMware
-0.49

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Expedia Inc and VMware Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on VMware Inc 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 VMware. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VMware Inc has no effect on the direction of Expedia i.e. Expedia and VMware go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Expedia Inc

  
0 

Risk-Adjusted Performance

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

VMware Inc

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in VMware Inc are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.