Alcoa Backtesting

    With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Inc and determine expected loss or profit from investing in Alcoa over given investment horizon. Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance
    Investment Horizon     30 Days    Login   to change
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    Backtest

    Alcoa 'What if' Analysis

    January 26, 2017
     0.00 
    No Change 0.00  0.0%
    In 31 days
    February 25, 2017
     0.00 
    If you would invest  0.00  in Alcoa on January 26, 2017 and sell it all today you would earn a total of 0.00 from holding Alcoa Inc or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with RELIANCE STL, Southern Copper, ALLEGHENY TECH, CARPENTER TECH, and Constellium NV. It owns seven bauxite mines located near principal Atlantic and Pacific markets and offer smelter grade alumina to alumi...

    Alcoa Upside/Downside Indicators

      

    Alcoa Market Premium Indicators

    Alcoa Inc lagged returns against current returns

     Current and Lagged Values 
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    Alcoa regressed lagged prices vs. current prices

     Current vs Lagged Prices 
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    Alcoa Inc Backtested Returns

    Macroaxis considers Alcoa to be not too volatile. Alcoa Inc secures Sharpe Ratio (or Efficiency) of -0.1034 which signifies that Alcoa Inc had -0.1034% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Alcoa Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Inc Mean Deviation of 1.38 and Risk Adjusted Performance of (0.04) to double-check risk estimate we provide. Macroaxis gives Alcoa performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.804 which signifies that as returns on market increase, Alcoa returns are expected to increase less than the market. However during bear market, the loss on holding Alcoa will be expected to be smaller as well.. Even though it is essential to pay attention to Alcoa Inc historical returns, it is always good to be careful when utilizing equity current trading patterns. Macroaxis philosophy in foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Alcoa Inc exposes twenty-eight different technical indicators which can help you to evaluate its performance. Alcoa Inc has expected return of -0.2223%. Please be advised to confirm Alcoa Inc Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha to decide if Alcoa Inc past performance will be repeated at some point in the near future.
    Advice Volatility Trend Exposure 
    15 days auto-correlation(0.75) 

    Almost perfect reverse predictability

    Alcoa Inc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from January 26, 2017 to February 10, 2017 and February 10, 2017 to February 25, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa Inc price movement. The serial correlation of -0.75 indicates that around 75.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alcoa for similar time interval.
    Correlation Coefficient -0.75
    Spearman Rank Test -0.43
    Price Variance 2.38
    Lagged Price Variance 0.37

    Alcoa Lagged Returns

     Regressed Prices 
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    Alcoa Performance vs NYSE

    The median price of Alcoa for the period between Thu, Jan 26, 2017 and Sat, Feb 25, 2017 is 36.71 with a coefficient of variation of 3.01. The daily time series for the period is distributed with a sample standard deviation of 1.11, arithmetic mean of 36.91, and mean deviation of 0.85. The Stock received some media coverage during the period.
    Price Growth (%)  
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