Pair Correlation Between Expedia Inc and Yahoo Inc

  
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 Inc and Yahoo Inc 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 Inc with a short position of Yahoo Inc. Please also check ongoing floating volatility patterns of Expedia Inc and Yahoo Inc.
 Expedia Inc.  vs   Yahoo Inc.
Daily Returns (%)
YHOO   EXPE   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Expedia Inc is expected to under-perform the Yahoo Inc. In addition to that, Expedia Inc is 1.01 times more volatile than Yahoo Inc. It trades about -0.29 of its total potential returns per unit of risk. Yahoo Inc is currently generating about -0.12 per unit of volatility. If you would invest  3,017  in Yahoo Inc on January 9, 2016 and sell it today you would lose (220.00) from holding Yahoo Inc or give up 7.29% of portfolio value over 30 days.

Correlation Coefficient

0.78

Parameters

Time Period1 Month [change]
DirectionPositive 
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 Inc

  

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 Inc