Correlation Analysis Between Alcoa and Citigroup

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

Alcoa Corp.  vs.  Citigroup Inc

 Performance (%) 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to generate 2.04 times more return on investment than Citigroup. However, Alcoa is 2.04 times more volatile than Citigroup. It trades about -0.03 of its potential returns per unit of risk. Citigroup is currently generating about -0.18 per unit of risk. If you would invest  3,534  in Alcoa Corporation on October 13, 2018 and sell it today you would lose (141.00)  from holding Alcoa Corporation or give up 3.99% of portfolio value over 30 days.

Pair Corralation between Alcoa and Citigroup

Time Period1 Month [change]
ValuesDaily Returns


Alcoa Corp. diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp. and Citigroup Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and Alcoa 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 Alcoa Corporation are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of Alcoa i.e. Alcoa and Citigroup go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

Risk-Adjusted Performance

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

Risk-Adjusted Performance

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

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