Alcoa Risk Analysis

Alcoa Corporation -- USA Stock  

USD 47.75  0.02  0.04%

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 Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 1.0778
Alcoa llmost one BetaAlcoa Beta Legend

Projected Return Density Against Market

Allowing 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.016 
βBeta against DOW= 1.08 
σ
Overall volatility
= 1.38 
 IrInformation ratio = 0.0182 

Actual Return Volatility

Alcoa Corporation accepts 1.3754% volatility on return distribution over the 30 days horizon. DOW inherits 0.2303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alcoa Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Alcoa Total Debt History

Total Debt

Largest Trends

Alcoa Largest Period Trend

Investment Outlook

Alcoa Investment Opportunity
Alcoa Corporation has a volatility of 1.38 and is 6.0 times more volatile than DOW. 12% of all equities and portfolios are less risky than Alcoa. Compared to the overall equity markets, volatility of historical daily returns of Alcoa Corporation is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Alcoa to be traded at $47.27 in 30 days. Alcoa returns are very sensitive to returns on the market. As market goes up or down, Alcoa is expected to follow.

Alcoa correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp. and equity matching DJI index in the same portfolio.