Correlation Analysis Between Microsoft and Expedia

       
Investment Horizon     30 Days    Login   to change
This module allows you to analyze existing cross correlation between Microsoft Corporation and Expedia Inc. You can compare the effects of market volatilities on Microsoft and Expedia 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 Microsoft with a short position of Expedia. Please also check ongoing floating volatility patterns of Microsoft and Expedia.
 Microsoft Corp.  vs   Expedia Inc.
Daily Returns (%)
EXPE   MSFT   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Microsoft Corporation is expected to under-perform the Expedia. But the stock apears to be less risky and, when comparing its historical volatility, Microsoft Corporation is 1.07 times less risky than Expedia. The stock trades about -0.11 of its potential returns per unit of risk. The Expedia Inc is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  12,144  in Expedia Inc on July 31, 2015 and sell it today you would lose (493.00) from holding Expedia Inc or give up 4.06% of portfolio value over 30 days.

Correlation Coefficient

0.84

Parameters

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

Diversification

Very poor diversification

Overlapping area represents amount of risk that can be diversified away by holding Microsoft Corp. and Expedia Inc. in the same portfolio assuming nothing else is changed

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Microsoft

  

Risk-adjusted Performance

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

Pair trading matchups for Microsoft

  

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