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 (%)
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 1.31 times less risky than Expedia. The stock trades about -0.25 of its potential returns per unit of risk. The Expedia Inc is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  10,782  in Expedia Inc on March 31, 2016 and sell it today you would earn a total of  795.00  from holding Expedia Inc or generate 7.37% return on investment over 30 days.

Correlation Coefficient

0.24

Parameters

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

Diversification

Modest 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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.13 (0.49) 0.00 (1.31) 0.00 (0.31) 0.00  1.28 (1.98) 8.63 
 1.55  0.42  0.13 (0.41) 1.36  0.10 (1.73) 2.56 (2.83) 5.69 

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

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia