We consider Alcoa not too risky. Alcoa secures Sharpe Ratio (or Efficiency) of 0.111 which signifies that Alcoa had 0.111% 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-one technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please confirm Alcoa Mean Deviation of 1.13 and Risk Adjusted Performance of 0.0343 to double-check if risk estimate we provide are consistent with the epected return of 0.1526%.
|Investment Horizon||30 Days Login to change|
Alcoa Market Sensitivity
|Alcoa returns are very sensitive to returns on the market. As market goes up or down, Alcoa is expected to follow.One Month Beta |Analyze Alcoa Demand TrendCheck current 30 days Alcoa correlation with market (DOW)|
β = 1.0778
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, the stock has beta coefficient of 1.0778 . This suggests Alcoa Corporation market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Alcoa is expected to follow. Moreover, Alcoa Corporation has an alpha of 0.016 implying that it can potentially generate 0.016% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Alcoa is 901.21. The daily returns are destributed with a variance of 1.89 and standard deviation of 1.38. The mean deviation of Alcoa Corporation is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23