Correlation Analysis Between Alcoa and NORANDA ALUM

Analyzing existing cross correlation between Alcoa Corporation and NORANDA ALUM HLDG CORP. You can compare the effects of market volatilities on Alcoa and NORANDA ALUM 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 NORANDA ALUM. See also your portfolio center. Please also check ongoing floating volatility patterns of Alcoa and NORANDA ALUM.
Horizon     30 Days    Login   to change
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Comparative Performance

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 unfluctuating performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in February 2020. The current disturbance may also be a sign of long term up-swing for the company investors.
NORANDA ALUM HLDG  
1212

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in NORANDA ALUM HLDG CORP are ranked lower than 12 (%) of all global equities and portfolios over the last 30 days. Inspite very weak forward-looking indicators, NORANDA ALUM displayed solid returns over the last few months and may actually be approaching a breakup point.

Alcoa and NORANDA ALUM Volatility Contrast

 Predicted Return Density 
    
  Returns 

Alcoa Corp.  vs.  NORANDA ALUM HLDG CORP

 Performance (%) 
    
  Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Alcoa Corporation is expected to under-perform the NORANDA ALUM. But the stock apears to be less risky and, when comparing its historical volatility, Alcoa Corporation is 18.36 times less risky than NORANDA ALUM. The stock trades about -0.14 of its potential returns per unit of risk. The NORANDA ALUM HLDG CORP is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  0.32  in NORANDA ALUM HLDG CORP on December 24, 2019 and sell it today you would earn a total of  0.03  from holding NORANDA ALUM HLDG CORP or generate 9.38% return on investment over 30 days.

Pair Corralation between Alcoa and NORANDA ALUM

0.11
Time Period3 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy96.88%
ValuesDaily Returns

Diversification Opportunities for Alcoa and NORANDA ALUM

Alcoa Corp. diversification synergy

Average diversification

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