Alcoa Backtesting

AA -- USA Stock  

USD 35.15  1.29  3.54%

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
SymbolX
Backtest

Alcoa 'What if' Analysis

October 18, 2018
0.00
No Change 0.00  0.0%
In 30 days
November 17, 2018
0.00
If you would invest  0.00  in Alcoa on October 18, 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 Aluminum, Kaiser Aluminum, Century Aluminum, Constellium, First Majestic, and AngloGold Ashanti. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

Alcoa Upside/Downside Indicators

Information Ratio0.0077
Maximum Drawdown14.22
Value At Risk5.55
Potential Upside5.12
  

Alcoa Market Premium Indicators

Risk Adjusted Performance0.008948
Jensen Alpha0.0419
Total Risk Alpha0.1585
Treynor Ratio0.042587

Alcoa Backtested Returns

Macroaxis considers Alcoa to be not very risky. Alcoa secures Sharpe Ratio (or Efficiency) of -0.0796 which signifies that Alcoa had -0.0796% 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 2.44 and Risk Adjusted Performance of 0.008948 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 1.2098 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.. 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 -0.2446%. 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 0.71 
correlation synergy

Good predictability

Alcoa Corporation has good predictability. Overlapping area represents the amount of predictability between Alcoa time series from October 18, 2018 to November 2, 2018 and November 2, 2018 to November 17, 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 0.71 indicates that around 71.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient0.71
Spearman Rank Test0.15
Residual Average0.0
Price Variance1.07

Alcoa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alcoa Lagged Returns

 Regressed Prices 
      Timeline 

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Alcoa Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alcoa and Aluminum Of China. 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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