Alcoa Backtesting

    Alcoa Corporation -- USA Stock  

    USD 47.55  0.85  1.82%

    With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation 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
     Time Horizon     30 Days    Login   to change

    Alcoa 'What if' Analysis

    January 25, 2018
    No Change 0.00  0.0%
    In 31 days
    February 24, 2018
    If you would invest  0.00  in Alcoa on January 25, 2018 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with Reliance Steel, Allegheny Technologies, Carpenter Technology, Southern Copper, and Arconic. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

    Alcoa Upside/Downside Indicators


    Alcoa Market Premium Indicators

    Alcoa lagged returns against current returns

     Current and Lagged Values 

    Alcoa regressed lagged prices vs. current prices

     Current vs Lagged Prices 

    Alcoa Backtested Returns

    Macroaxis considers Alcoa to be not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of -0.2494 which signifies that Alcoa had -0.2494% 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 Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 1.81 and Risk Adjusted Performance of 0.44 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 0.6895 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 historical returns, it is always good to be careful when utilizing equity current trending 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 Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Alcoa has expected return of -0.584%. Please be advised to confirm Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to decide if Alcoa past performance will be repeated at some point in the near future.
    Advice Volatility Trend Exposure Correlations
    15 days auto-correlation(0.24) 

    Weak reverse predictability

    Alcoa Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from January 25, 2018 to February 9, 2018 and February 9, 2018 to February 24, 2018. 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 price movement. The serial correlation of -0.24 indicates that over 24.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Corporation 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 -0.24
    Spearman Rank Test -0.56
    Price Variance 0.54
    Lagged Price Variance 5.34

    Alcoa Lagged Returns

     Regressed Prices 

    Alcoa Performance vs DOW

    The median price of Alcoa for the period between Thu, Jan 25, 2018 and Sat, Feb 24, 2018 is 48.46 with a coefficient of variation of 5.66. The daily time series for the period is distributed with a sample standard deviation of 2.8, arithmetic mean of 49.37, and mean deviation of 2.39. The Stock received some media coverage during the period.
    Price Growth (%)  
    Risk Malaise Alert in Option Market Alcoa Corp. Implied Pric...02/23/2018