Correlation Analysis Between Citigroup and Alcoa

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

Citigroup  
00

Risk-Adjusted Performance

Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. 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  
00

Risk-Adjusted Performance

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 November 2019. The current disturbance may also be a sign of long term up-swing for the company investors.

Citigroup and Alcoa Volatility Contrast

 Predicted Return Density 
      Returns 

Citigroup Inc  vs.  Alcoa Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 0.62 times more return on investment than Alcoa. However, Citigroup is 1.62 times less risky than Alcoa. It trades about 0.01 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.08 per unit of risk. If you would invest  7,125  in Citigroup on September 16, 2019 and sell it today you would lose (3.00)  from holding Citigroup or give up 0.04% of portfolio value over 30 days.

Pair Corralation between Citigroup and Alcoa

0.89
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Citigroup and Alcoa

Citigroup Inc diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and Alcoa Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa and Citigroup 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 Citigroup 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 Citigroup i.e. Citigroup and Alcoa go up and down completely randomly.
See also your portfolio center. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.


 
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