Pair Correlation 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 (%) 
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Microsoft Corporation is expected to generate 0.67 times more return on investment than Expedia. However, Microsoft Corporation is 1.48 times less risky than Expedia. It trades about -0.22 of its potential returns per unit of risk. Expedia Inc is currently generating about -0.21 per unit of risk. If you would invest  5,300  in Microsoft Corporation on May 28, 2016 and sell it today you would lose (317.00) from holding Microsoft Corporation or give up 5.98% of portfolio value over 30 days.

Correlation Coefficient

0.73

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 Microsoft Corp. and Expedia 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
 0.90 (0.09) 0.00 (0.22) 0.00 (0.06) 0.00  1.80 (2.60) 3.90 
 1.17 (0.28) 0.00 (0.29) 0.00 (0.18) 0.00  1.78 (2.31) 3.13 

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