Benchmark  United States  NYSE  10,865   5.8281  0.0537% 


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Correlation analysis between Microsoft and Expedia

    
  
Summary
Performance
FundamentalsTechnicalsRecomendation
   Valuation
   Backtest
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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 1.47 times less risky than Expedia. The stock trades about -0.19 of its potential returns per unit of risk. The Expedia Inc is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  10,640  in Expedia Inc on June 5, 2015 and sell it today you would earn a total of  67.00  from holding Expedia Inc or generate 0.63% return on investment over 30 days.

Correlation Coefficient

0.62

Parameters

Time Period1 Month [change]
DirectionPositive EXPE Moved Up vs MSFT
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

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

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Expedia Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Expedia Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Expedia

Hilton Worldwide Holdings Inc vs. Expedia Inc
Marriott International Inc vs. Expedia Inc
Starwood Hotels Resorts Worldwide Inc vs. Expedia Inc
Ctrip International Ltd vs. Expedia Inc
Wyndham Worldwide Corporation vs. Expedia Inc
Intercontinental Hotels Group plc vs. Expedia Inc
Extended Stay America Inc vs. Expedia Inc
Choice Hotels International Inc vs. Expedia Inc
ASIAN HOTELS LTD vs. Expedia Inc