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
Over the last 30 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions.
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
Citigroup Inc vs. Alcoa Corp.
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 1.78 times less risky than Alcoa. It trades about -0.31 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.21 per unit of risk. If you would invest 6,886 in Citigroup on November 18, 2018 and sell it today you would lose (1,490) from holding Citigroup or give up 21.64% of portfolio value over 30 days.
Pair Corralation between Citigroup and Alcoa
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Diversification Opportunities for Citigroup and Alcoa
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 Theme Ratings
module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.