Pair Correlation Between Citigroup and Alcoa

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

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup Inc is expected to generate 0.35 times more return on investment than Alcoa. However, Citigroup Inc is 2.82 times less risky than Alcoa. It trades about -0.16 of its potential returns per unit of risk. Alcoa Inc is currently generating about -0.14 per unit of risk. If you would invest  6,062  in Citigroup Inc on February 22, 2017 and sell it today you would lose (255.00)  from holding Citigroup Inc or give up 4.21% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Citigroup and Alcoa
0.67

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc. and Alcoa Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa Inc and Citigroup 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 Citigroup 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 Citigroup i.e. Citigroup and Alcoa go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed    Returns 

Citigroup Inc

  
0 

Risk-Adjusted Performance

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

Alcoa Inc

  
0 

Risk-Adjusted Performance

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