Pair Correlation Between Alcoa and Aluminum Corporation

This module allows you to analyze existing cross correlation between Alcoa Inc and Aluminum Corporation Of China Limited. You can compare the effects of market volatilities on Alcoa and Aluminum Corporation 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 Alcoa with a short position of Aluminum Corporation. See also your portfolio center. Please also check ongoing floating volatility patterns of Alcoa and Aluminum Corporation.
Investment Horizon     30 Days    Login   to change
 Alcoa Inc.  vs   Aluminum Corp. Of China Limite
 Performance (%) 
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Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Inc is expected to under-perform the Aluminum Corporation. But the stock apears to be less risky and, when comparing its historical volatility, Alcoa Inc is 1.05 times less risky than Aluminum Corporation. The stock trades about -0.11 of its potential returns per unit of risk. The Aluminum Corporation Of China Limited is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  1,293  in Aluminum Corporation Of China Limited on January 25, 2017 and sell it today you would lose (38.00)  from holding Aluminum Corporation Of China Limited or give up 2.94% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Alcoa and Aluminum Corporation
0.4

Parameters

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

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Inc. and Aluminum Corp. Of China Limite in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Aluminum Of China and Alcoa 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 Alcoa Inc are associated (or correlated) with Aluminum Corporation. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aluminum Of China has no effect on the direction of Alcoa i.e. Alcoa and Aluminum Corporation go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
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Alcoa Inc

  

Risk-adjusted Performance

Over the last 30 days Alcoa Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

Aluminum Of China

  

Risk-adjusted Performance

Over the last 30 days Aluminum Corporation Of China Limited has generated negative risk-adjusted returns adding no value to investors with long positions.