Pair Correlation Between Sprint and Alcoa

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

Pair Volatility

Taking into account the 30 trading days horizon, Sprint is expected to generate 2.45 times less return on investment than Alcoa. In addition to that, Sprint is 1.2 times more volatile than Alcoa Corporation. It trades about 0.07 of its total potential returns per unit of risk. Alcoa Corporation is currently generating about 0.19 per unit of volatility. If you would invest  4,217  in Alcoa Corporation on August 26, 2017 and sell it today you would earn a total of  321.00  from holding Alcoa Corporation or generate 7.61% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Sprint and Alcoa
-0.32

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.0%
ValuesDaily Returns

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Sprint

  
4 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Sprint Corporation are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.

Alcoa

  
13 

Risk-Adjusted Performance

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