Pair Correlation Between Chevron and Alcoa

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

Pair Volatility

Considering 30-days investment horizon, Chevron is expected to generate 1.01 times less return on investment than Alcoa. But when comparing it to its historical volatility, Chevron Corporation is 2.43 times less risky than Alcoa. It trades about 0.21 of its potential returns per unit of risk. Alcoa Corporation is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  5,038  in Alcoa Corporation on December 24, 2017 and sell it today you would earn a total of  179  from holding Alcoa Corporation or generate 3.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Chevron and Alcoa
0.68

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 Chevron Corp. and Alcoa Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa and Chevron 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 Chevron Corporation 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 Chevron i.e. Chevron and Alcoa go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Chevron

  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Chevron Corporation are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

Alcoa

  
5 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alcoa Corporation are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.