Pair Correlation Between Alcoa and International Business

This module allows you to analyze existing cross correlation between Alcoa Corporation and International Business Machines Corporation. You can compare the effects of market volatilities on Alcoa and International Business 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 International Business. See also your portfolio center. Please also check ongoing floating volatility patterns of Alcoa and International Business.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Alcoa Corp.  vs   International Business Machine
 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the International Business. In addition to that, Alcoa is 2.57 times more volatile than International Business Machines Corporation. It trades about -0.37 of its total potential returns per unit of risk. International Business Machines Corporation is currently generating about -0.16 per unit of volatility. If you would invest  15,588  in International Business Machines Corporation on October 24, 2017 and sell it today you would lose (411)  from holding International Business Machines Corporation or give up 2.64% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Alcoa and International Business
0.81

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

International Business

  
0 

Risk-Adjusted Performance

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