Pair Correlation Between T and Alcoa

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

AT&T INC.  vs.  Alcoa Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, T is expected to under-perform the Alcoa. But the stock apears to be less risky and, when comparing its historical volatility, T is 3.19 times less risky than Alcoa. The stock trades about -0.16 of its potential returns per unit of risk. The Alcoa Corporation is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  4,668  in Alcoa Corporation on March 26, 2018 and sell it today you would earn a total of  414.00  from holding Alcoa Corporation or generate 8.87% return on investment over 30 days.

Pair Corralation between T and Alcoa

-0.41
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
T  
0 

Risk-Adjusted Performance

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

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