Alcoa Backtesting

    Alcoa Corporation -- USA Stock  

    USD 41.41  0.8  1.9%

    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
    SymbolX
    Backtest

    Alcoa 'What if' Analysis

    October 22, 2017
    0.00
    No Change 0.00  0.0%
    In 31 days
    November 21, 2017
    0.00
    If you would invest  0.00  in Alcoa on October 22, 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 
          Timeline 

    Alcoa regressed lagged prices vs. current prices

     Current vs Lagged Prices 
          Timeline 

    Alcoa Backtested Returns

    Macroaxis considers Alcoa to be not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of -0.2766 which signifies that Alcoa had -0.2766% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 1.36 and Risk Adjusted Performance of (0.099089) 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 0.1018 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-eight different technical indicators which can help you to evaluate its performance. Alcoa has expected return of -0.5566%. Please be advised to confirm Alcoa Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha 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 0.65 

    Good predictability

    Alcoa Corporation has good predictability. Overlapping area represents the amount of predictability between Alcoa time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 0.65 indicates that roughly 65.0% of current Alcoa price fluctuation can be explain by its past prices.
    Correlation Coefficient 0.65
    Spearman Rank Test 0.37
    Price Variance 3.55
    Lagged Price Variance 0.9

    Alcoa Lagged Returns

     Regressed Prices 
          Timeline 

    Alcoa Performance vs DOW

    The median price of Alcoa for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 47.29 with a coefficient of variation of 5.91. The daily time series for the period is distributed with a sample standard deviation of 2.72, arithmetic mean of 45.98, and mean deviation of 2.41. The Stock received some media coverage during the period.
    Price Growth (%)  
          Timeline 
    1
    Why Is Alcoa Down 9.1 percent Since the Last Earnings Report11/20/2017