This module allows you to analyze existing cross correlation between Alcoa Corporation and CVS Health Corporation. You can compare the effects of market volatilities on Alcoa and CVS Health 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 CVS Health. See also your portfolio center
. Please also check ongoing floating volatility patterns of Alcoa
and CVS Health
Alcoa Corp. vs CVS Health Corp.
Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the CVS Health. But the stock apears to be less risky and, when comparing its historical volatility, Alcoa Corporation is 1.05 times less risky than CVS Health. The stock trades about -0.37 of its potential returns per unit of risk. The CVS Health Corporation is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest 7,601 in CVS Health Corporation on October 24, 2017 and sell it today you would lose (453) from holding CVS Health Corporation or give up 5.96% of portfolio value over 30 days.
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Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp. and CVS Health Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CVS Health 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 CVS Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CVS Health has no effect on the direction of Alcoa i.e. Alcoa and CVS Health go up and down completely randomly.
Over the last 30 days Alcoa Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days CVS Health Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.