Pair Correlation Between Microsoft Corporation and Expedia Inc

  
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 Corporation and Expedia 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 Microsoft Corporation with a short position of Expedia Inc. Please also check ongoing floating volatility patterns of Microsoft Corporation and Expedia Inc.
 Microsoft Corp.  vs   Expedia Inc.
Daily Returns (%)
EXPE   MSFT   
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Microsoft Corporation is expected to generate 0.68 times more return on investment than Expedia Inc. However, Microsoft Corporation is 1.47 times less risky than Expedia Inc. It trades about -0.14 of its potential returns per unit of risk. Expedia Inc is currently generating about -0.1 per unit of risk. If you would invest  5,277  in Microsoft Corporation on January 12, 2016 and sell it today you would lose (383.00) from holding Microsoft Corporation or give up 7.26% of portfolio value over 30 days.

Correlation Coefficient

0.49

Parameters

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

Diversification

Very weak 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 Corporation

  

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