Alcoa Backtesting


    USD 36.36  0.27  0.74%

    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
    Investment Horizon     30 Days    Login   to change

    Alcoa 'What if' Analysis

    June 27, 2017
    No Change 0.00  0.0%
    In 31 days
    July 27, 2017
    If you would invest  0.00  in Alcoa on June 27, 2017 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. 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 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 not too volatile given 1 month investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.4013 which signifies that Alcoa had 0.4013% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.6829% is justified by implied risk. Please makes use of Alcoa Mean Deviation of 1.26 and Risk Adjusted Performance of 0.1635 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 27. The firm shows Beta (market volatility) of -0.0451 which signifies that as returns on market increase, returns on owning Alcoa are expected to decrease at a much smaller rate. During bear market, Alcoa is likely to outperform the market.. Although it is vital to follow to Alcoa historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patternss. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty technical indicators for Alcoa Corporation which you can use to evaluate performance of the firm. Please makes use of Alcoa Variance, Maximum Drawdown and the relationship between Coefficient Of Variation and Jensen Alpha to make a quick decision on weather Alcoa price patterns will revert.
    Advice Volatility Trend Exposure Correlations
    15 days auto-correlation 0.89 

    Very good predictability

    Alcoa Corporation has very good predictability. Overlapping area represents the amount of predictability between Alcoa time series from June 27, 2017 to July 12, 2017 and July 12, 2017 to July 27, 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 price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Alcoa price fluctuation can be explain by its past prices.
    Correlation Coefficient 0.89
    Spearman Rank Test 0.83
    Price Variance 0.41
    Lagged Price Variance 0.84

    Alcoa Lagged Returns

     Regressed Prices 

    Alcoa Performance vs DOW

    The median price of Alcoa for the period between Tue, Jun 27, 2017 and Thu, Jul 27, 2017 is 36.01 with a coefficient of variation of 4.68. The daily time series for the period is distributed with a sample standard deviation of 1.64, arithmetic mean of 35.09, and mean deviation of 1.45. The Stock received some media coverage during the period.
    Price Growth (%)  
    3 Reasons Alcoa Is No Longer The Curtain-Raising Event Of Ea...07/19/2017