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
Compare Efficiency

Comparative Performance

Citigroup  
0

Risk-Adjusted Performance

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

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 under-perform the Alcoa. But the stock apears to be less risky and, when comparing its historical volatility, Citigroup is 1.85 times less risky than Alcoa. The stock trades about -0.3 of its potential returns per unit of risk. The Alcoa Corporation is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest  3,619  in Alcoa Corporation on November 15, 2018 and sell it today you would lose (758.00)  from holding Alcoa Corporation or give up 20.95% of portfolio value over 30 days.

Pair Corralation between Citigroup and Alcoa

0.87
Time Period2 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.

Thematic Opportunities

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