Pair Correlation Between Best Buy and Alcoa

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

Pair Volatility

Considering 30-days investment horizon, Best Buy Co Inc is expected to under-perform the Alcoa. But the stock apears to be less risky and, when comparing its historical volatility, Best Buy Co Inc is 1.5 times less risky than Alcoa. The stock trades about -0.11 of its potential returns per unit of risk. The Alcoa Inc is currently generating about 0.24 of returns per unit of risk over similar time horizon. 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 Best Buy and Alcoa
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 Best Buy Co. Inc. and Alcoa Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa Inc and Best Buy 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 Best Buy Co Inc are associated (or correlated) with Alcoa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alcoa Inc has no effect on the direction of Best Buy i.e. Best Buy and Alcoa 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
 1.31 (0.32)  0.00 (1.18)  0.00 (0.19)  0.00  2.36 (2.58)  5.18 
 1.93  0.45  0.22  0.18  1.66  0.18 (2.52)  4.96 (2.80)  8.87 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Best Buy Co

  

Risk-adjusted Performance

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

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.