Correlation Analysis Between ATT and Alcoa

This module allows you to analyze existing cross correlation between ATT 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.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

ATT  
0

Risk-Adjusted Performance

Over the last 30 days ATT 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.

ATT and Alcoa Volatility Contrast

 Predicted Return Density 
      Returns 

ATT  vs.  Alcoa Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, ATT is expected to generate 0.54 times more return on investment than Alcoa. However, ATT is 1.86 times less risky than Alcoa. It trades about -0.08 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.15 per unit of risk. If you would invest  3,239  in ATT on November 15, 2018 and sell it today you would lose (217.00)  from holding ATT or give up 6.7% of portfolio value over 30 days.

Pair Corralation between ATT and Alcoa

0.58
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy97.67%
ValuesDaily Returns

Diversification Opportunities for ATT and Alcoa

ATT diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATT 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 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.

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