Pair Correlation Between Alcoa and Citigroup

This module allows you to analyze existing cross correlation between Alcoa Inc and Citigroup Inc. You can compare the effects of market volatilities on Alcoa and Citigroup 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 Citigroup. See also your portfolio center. Please also check ongoing floating volatility patterns of Alcoa and Citigroup.
Investment Horizon     30 Days    Login   to change
 Alcoa Inc.  vs   Citigroup Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Inc is expected to generate 2.2 times more return on investment than Citigroup. However, Alcoa is 2.2 times more volatile than Citigroup Inc. It trades about 0.24 of its potential returns per unit of risk. Citigroup Inc is currently generating about -0.09 per unit of risk. If you would invest  2,929  in Alcoa Inc on December 19, 2016 and sell it today you would earn a total of  335.00  from holding Alcoa Inc or generate 11.44% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Alcoa and Citigroup
0.37

Parameters

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

Diversification

Weak diversification

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

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.93  0.45  0.22  0.18  1.66  0.18 (2.52)  4.96 (2.80)  8.87 
 0.86 (0.09)  0.00  0.14  0.00 (0.07)  0.00  1.91 (1.74)  3.69 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Alcoa Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alcoa Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Citigroup Inc

  

Risk-adjusted Performance

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