Alcoa Backtesting

    Alcoa Corporation -- USA Stock  

    USD 45.00  0.29  0.64%

    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

    August 27, 2017
    No Change 0.00  0.0%
    In 31 days
    September 26, 2017
    If you would invest  0.00  in Alcoa on August 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

    We consider Alcoa not very risky. Alcoa secures Sharpe Ratio (or Efficiency) of 0.0276 which signifies that Alcoa had 0.0276% 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. We have found twenty-eight technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please confirm Alcoa Mean Deviation of 1.54 and Risk Adjusted Performance of 0.0916 to double-check if risk estimate we provide are consistent with the epected return of 0.1148%. Alcoa has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 2.2448 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alcoa will likely underperform.. Although it is extremely important to respect Alcoa historical returns, it is better to be realistic regarding the information on 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. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.1148% will be sustainable into the future. Alcoa right now shows a risk of 4.1517%. Please confirm Alcoa Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha to decide if Alcoa will be following its price patterns.
    Advice Volatility Trend Exposure Correlations
    15 days auto-correlation 0.00 

    No correlation between past and present

    Alcoa Corporation has no correlation between past and present. Overlapping area represents the amount of predictability between Alcoa time series from August 27, 2017 to September 11, 2017 and September 11, 2017 to September 26, 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 0.0 indicates that just 0.0% of current Alcoa price fluctuation can be explain by its past prices.
    Average Price 45.29
    Lagged Average Price 45.29

    Alcoa Lagged Returns

     Regressed Prices 

    Alcoa Performance vs DOW

    The median price of Alcoa for the period between Sun, Aug 27, 2017 and Tue, Sep 26, 2017 is 44.73 with a coefficient of variation of 3.54. The daily time series for the period is distributed with a sample standard deviation of 1.57, arithmetic mean of 44.29, and mean deviation of 1.22. The Stock received some media coverage during the period.
    Price Growth (%)  
    Better Buy Alcoa Inc. vs. Wheaton Precious Metals09/21/2017