Pair Correlation Between Expedia and Yahoo

  
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Expedia Inc and Yahoo Inc. You can compare the effects of market volatilities on Expedia and Yahoo 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 Yahoo. Please also check ongoing floating volatility patterns of Expedia and Yahoo.
 Expedia Inc.  vs   Yahoo Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Given the investment horizon of 30 days, Expedia Inc is expected to under-perform the Yahoo. But the stock apears to be less risky and, when comparing its historical volatility, Expedia Inc is 1.22 times less risky than Yahoo. The stock trades about -0.18 of its potential returns per unit of risk. The Yahoo Inc is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  3,876  in Yahoo Inc on July 26, 2016 and sell it today you would earn a total of  345.00  from holding Yahoo Inc or generate 8.9% return on investment over 30 days.

Correlation Coefficient

0.54

Parameters

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

Diversification

Very weak diversification

Overlapping area represents amount of risk that can be diversified away by holding Expedia Inc. and Yahoo Inc. in the same portfolio assuming nothing else is changed
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.81 (0.26) 0.00 (0.24) 0.00 (0.23) 0.00  1.12 (2.20) 5.02 
 0.98  0.33  0.37  0.40  0.29  0.24 (1.31) 3.36 (1.16) 5.21 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Expedia Inc

  

Risk-adjusted Performance

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

Pair trading matchups for Expedia

  

Yahoo Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Yahoo Inc are ranked lower than 19 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Yahoo