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

Citigroup Inc  vs.  Alcoa Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Citigroup is expected to generate 0.56 times more return on investment than Alcoa. However, Citigroup is 1.8 times less risky than Alcoa. It trades about 0.07 of its potential returns per unit of risk. Alcoa Corporation is currently generating about 0.03 per unit of risk. If you would invest  7,239  in Citigroup on August 25, 2018 and sell it today you would earn a total of  112.00  from holding Citigroup or generate 1.55% return on investment over 30 days.

Pair Corralation between Citigroup and Alcoa

-0.26
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Diversification

Very good 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.

Comparative Volatility

 Predicted Return Density 
      Returns 
Citigroup  
4 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days.
Alcoa  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alcoa Corporation are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1166.09

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