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 generate 1.16 times more return on investment than Yahoo. However, Expedia is 1.16 times more volatile than Yahoo Inc. It trades about 0.48 of its potential returns per unit of risk. Yahoo Inc is currently generating about 0.33 per unit of risk. If you would invest  10,176  in Expedia Inc on June 24, 2016 and sell it today you would earn a total of  1,544  from holding Expedia Inc or generate 15.17% return on investment over 30 days.

Correlation Coefficient

0.84

Parameters

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

Diversification

Very 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.44  0.17  0.00  0.25  0.00  0.11  0.00  2.79 (3.26) 9.18 
 1.11  0.10  0.05  0.24  1.65  0.06 (1.09) 2.28 (2.81) 5.20 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Expedia Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 31 (%) of all global equities and portfolios over the last 30 days.

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 21 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Yahoo