Pair Correlation Between Microsoft and Expedia

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. See also your portfolio center. Please also check ongoing floating volatility patterns of Microsoft and Expedia.
Investment Horizon     30 Days    Login   to change
 Microsoft Corp.  vs   Expedia Inc.
 Performance (%) 
Benchmark  Embed    Timeline 

Pair Volatility

Given the investment horizon of 30 days, Microsoft is expected to generate 3.68 times less return on investment than Expedia. But when comparing it to its historical volatility, Microsoft Corporation is 1.35 times less risky than Expedia. It trades about 0.16 of its potential returns per unit of risk. Expedia Inc is currently generating about 0.44 of returns per unit of risk over similar time horizon. If you would invest  11,904  in Expedia Inc on February 28, 2017 and sell it today you would earn a total of  1,062  from holding Expedia Inc or generate 8.92% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Microsoft and Expedia
0.65

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Microsoft Corp. and Expedia Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Expedia Inc and Microsoft is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Microsoft Corporation are associated (or correlated) with Expedia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Expedia Inc has no effect on the direction of Microsoft i.e. Microsoft and Expedia go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

Microsoft

  
11 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Microsoft Corporation are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.

Expedia Inc

  
30 

Risk-Adjusted Performance

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