Correlation Analysis Between NORANDA ALUM and Alcoa

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

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  
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 and Alcoa Volatility Contrast

 Predicted Return Density 
    
  Returns 

NORANDA ALUM HLDG CORP  vs.  Alcoa Corp.

 Performance (%) 
    
  Timeline 

Pair Volatility

Assuming 30 trading days horizon, NORANDA ALUM HLDG CORP is expected to generate 18.36 times more return on investment than Alcoa. However, NORANDA ALUM is 18.36 times more volatile than Alcoa Corporation. It trades about 0.18 of its potential returns per unit of risk. Alcoa Corporation is currently generating about -0.14 per unit of risk. 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 NORANDA ALUM and Alcoa

0.13
Time Period3 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy96.88%
ValuesDaily Returns

Diversification Opportunities for NORANDA ALUM and Alcoa

NORANDA ALUM HLDG CORP diversification synergy

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding NORANDA ALUM HLDG CORP and Alcoa Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Alcoa and NORANDA ALUM 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 NORANDA ALUM HLDG CORP 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 NORANDA ALUM i.e. NORANDA ALUM and Alcoa go up and down completely randomly.
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