Pair Correlation Between Alcoa and Home Depot

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

Allowing for the 30-days total investment horizon, Alcoa Inc is expected to generate 3.72 times more return on investment than Home Depot. However, Alcoa is 3.72 times more volatile than The Home Depot Inc. It trades about 0.24 of its potential returns per unit of risk. The Home Depot Inc is currently generating about 0.03 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 Home Depot
0.39

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 The Home Depot Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on The Home Depot 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 Home Depot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Home Depot has no effect on the direction of Alcoa i.e. Alcoa and Home Depot 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 
 0.48 (0.01)  0.01  0.04  0.56  0.0051 (0.59)  1.23 (1.02)  2.41 

Comparative Volatility

 Predicted Return Density 
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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.

The Home Depot

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in The Home Depot Inc are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.