Alcoa Backtesting

AA -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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.
Horizon     30 Days    Login   to change

Alcoa 'What if' Analysis

September 9, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 8, 2019
If you would invest  0.00  in Alcoa on September 9, 2019 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 90 days. Alcoa is related to or competes with Aluminum, Kaiser Aluminum, Century Aluminum, Constellium, Procter Gamble, and Merck. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products in the United States, Spain, Australia, Bra...

Alcoa Upside/Downside Indicators

Downside Deviation2.21
Information Ratio0.0141
Maximum Drawdown12.59
Value At Risk(3.95)
Potential Upside6.11

Alcoa Market Premium Indicators

Risk Adjusted Performance0.032
Jensen Alpha(0.022375)
Total Risk Alpha(0.19)
Sortino Ratio0.018
Treynor Ratio0.0518

Alcoa Backtested Returns

We consider Alcoa somewhat reliable. Alcoa secures Sharpe Ratio (or Efficiency) of 0.0216 which signifies that the organization had 0.0216% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please confirm Alcoa Mean Deviation of 2.24 and Risk Adjusted Performance of 0.032 to double-check if risk estimate we provide are consistent with the epected return of 0.0589%. Alcoa has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.9869 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 patterns. 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 0.0589% will be sustainable into the future. Alcoa right now shows a risk of 2.73%. Please confirm Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to decide if Alcoa will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.59 
correlation synergy

Modest predictability

Alcoa Corporation has modest predictability. Overlapping area represents the amount of predictability between Alcoa time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 2019. 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 0.59 indicates that roughly 59.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient0.59
Spearman Rank Test0.29
Residual Average0.0
Price Variance0.74

Alcoa lagged returns against current returns

 Current and Lagged Values 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alcoa Lagged Returns

 Regressed Prices 

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Alcoa Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alcoa and NORANDA ALUM HLDG. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .