Correlation Analysis Between Alcoa and Home Depot

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

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.
Home Depot  
0

Risk-Adjusted Performance

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

Alcoa and Home Depot Volatility Contrast

 Predicted Return Density 
      Returns 

Alcoa Corp.  vs.  The Home Depot Inc

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the Home Depot. In addition to that, Alcoa is 2.0 times more volatile than The Home Depot. It trades about -0.22 of its total potential returns per unit of risk. The Home Depot is currently generating about -0.08 per unit of volatility. If you would invest  17,985  in The Home Depot on November 18, 2018 and sell it today you would lose (993.00)  from holding The Home Depot or give up 5.52% of portfolio value over 30 days.

Pair Corralation between Alcoa and Home Depot

0.61
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Alcoa and Home Depot

Alcoa Corp. diversification synergy

Poor diversification

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

Thematic Opportunities

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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.


 
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