Pair Correlation Between Alcoa and International Business

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

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Inc is expected to generate 3.76 times more return on investment than International Business. However, Alcoa is 3.76 times more volatile than International Business Machines Corporation. It trades about 0.24 of its potential returns per unit of risk. International Business Machines Corporation is currently generating about 0.06 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 International Business
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 International Business Machine in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on International Business 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 International Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Business has no effect on the direction of Alcoa i.e. Alcoa and International Business 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 
 0.50 (0.02)  0.00 (0.06)  0.00 (0.02)  0.00  1.24 (1.11)  2.51 

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.

International Business

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in International Business Machines Corporation are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.