Pair Correlation Between ATT and Alcoa

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

Pair Volatility

Taking into account the 30 trading days horizon, ATT is expected to generate 36.24 times less return on investment than Alcoa. But when comparing it to its historical volatility, ATT Inc is 1.15 times less risky than Alcoa. It trades about 0.01 of its potential returns per unit of risk. Alcoa Corporation is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  4,538  in Alcoa Corporation on September 22, 2017 and sell it today you would earn a total of  255  from holding Alcoa Corporation or generate 5.62% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ATT and Alcoa
-0.31

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy4.1%
ValuesDaily Returns

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

ATT Inc

  
0 

Risk-Adjusted Performance

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

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.