Pair Correlation Between Alcoa and Wilshire US

This module allows you to analyze existing cross correlation between Alcoa Corporation and Wilshire US Large Cap Value Ind. You can compare the effects of market volatilities on Alcoa and Wilshire US 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 Wilshire US. See also your portfolio center. Please also check ongoing floating volatility patterns of Alcoa and Wilshire US.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Alcoa Corp.  vs   Wilshire US Large Cap Value In
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the Wilshire US. In addition to that, Alcoa is 6.26 times more volatile than Wilshire US Large Cap Value Ind. It trades about -0.14 of its total potential returns per unit of risk. Wilshire US Large Cap Value Ind is currently generating about -0.06 per unit of volatility. If you would invest  501,792  in Wilshire US Large Cap Value Ind on October 19, 2017 and sell it today you would lose (2,304)  from holding Wilshire US Large Cap Value Ind or give up 0.46% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Alcoa and Wilshire US
0.49

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.65%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp. and Wilshire US Large Cap Value In in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Wilshire US Large 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 Corporation are associated (or correlated) with Wilshire US. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wilshire US Large has no effect on the direction of Alcoa i.e. Alcoa and Wilshire US go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns