Correlation Analysis 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 (%)
YHOO   EXPE   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia Inc is expected to generate 1.01 times more return on investment than Yahoo. However, Expedia is 1.01 times more volatile than Yahoo Inc. It trades about -0.23 of its potential returns per unit of risk. Yahoo Inc is currently generating about -0.26 per unit of risk. If you would invest  12,679  in Expedia Inc on August 5, 2015 and sell it today you would lose (1,648) from holding Expedia Inc or give up 13.0% of portfolio value over 30 days.

Correlation Coefficient

0.67

Parameters

Time Period1 Month [change]
DirectionPositive YHOO Moved Up vs EXPE
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Poor 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

Historical Performance Chart

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

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

Pair trading matchups for Yahoo