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|
Over the last 30 days Alcoa Corporation has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in June 2019. The current disturbance may also be a sign of long term up-swing for the company investors.
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days. Despite somewhat strong basic indicators, Citigroup is not utilizing all of its potentials. The new stock price disturbance, may contribute to short term losses for the investors.
Alcoa and Citigroup Volatility Contrast
Predicted Return Density
Alcoa Corp. vs. Citigroup Inc
Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the Citigroup. In addition to that, Alcoa is 1.3 times more volatile than Citigroup. It trades about -0.17 of its total potential returns per unit of risk. Citigroup is currently generating about 0.02 per unit of volatility. If you would invest 6,430 in Citigroup on April 19, 2019 and sell it today you would earn a total of 77.00 from holding Citigroup or generate 1.2% return on investment over 30 days.
Pair Corralation between Alcoa and Citigroup
|Time Period||2 Months [change]|
Diversification Opportunities for Alcoa and Citigroup
Very good 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.
See also your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.