Correlation Analysis Between Citigroup and Alcoa

This module allows you to analyze existing cross correlation between Citigroup and Alcoa Corporation. 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.
Horizon     30 Days    Login   to change
Symbolsvs

Citigroup Inc  vs.  Alcoa Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 0.61 times more return on investment than Alcoa. However, Citigroup is 1.63 times less risky than Alcoa. It trades about -0.24 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.15 per unit of risk. If you would invest  6,986  in Citigroup on November 10, 2018 and sell it today you would lose (1,383)  from holding Citigroup or give up 19.79% of portfolio value over 30 days.

Pair Corralation between Citigroup and Alcoa

0.81
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Citigroup Inc diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Alcoa Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa 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 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 has no effect on the direction of Citigroup i.e. Citigroup and Alcoa go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Citigroup  
0

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
Alcoa  
0

Risk-Adjusted Performance

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

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TGT - USA Stock
Target Corporation
Specialization
Consumer, Diversified Wholesale And Retail
RegionNorth America
ExchangeNew York Stock Exchange
$68.02

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