Alcoa Risk Analysis

Alcoa Corporation -- USA Stock  

USD 60.01  0.22  0.37%

Macroaxis considers Alcoa not too volatile given 2 months investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.2345 which signifies that Alcoa had 0.2345% of return per unit of standard deviation over the last 2 months. 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. By analyzing Alcoa technical indicators you can presently evaluate if the expected return of 0.5604% is justified by implied risk. Please makes use of Alcoa Mean Deviation of 1.67 and Risk Adjusted Performance of 0.4069 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Alcoa Market Sensitivity

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.
2 Months Beta |Analyze Alcoa Demand Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 0.1388
Alcoa Small BetaAlcoa Beta Legend

Alcoa Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Alcoa Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Alcoa has beta of 0.1388 . This suggests as returns on market go up, Alcoa average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Alcoa Corporation will be expected to be much smaller as well. Moreover, Alcoa Corporation has an alpha of 0.5699 implying that it can potentially generate 0.5699% 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 426.47. The daily returns are destributed with a variance of 5.71 and standard deviation of 2.39. The mean deviation of Alcoa Corporation is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.57
β
Beta against DOW=0.14
σ
Overall volatility
=2.39
Ir
Information ratio =0.28

Actual Return Volatility

Alcoa Corporation accepts 2.3899% volatility on return distribution over the 30 days horizon. DOW inherits 1.4105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alcoa Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Total Debt

Alcoa Total Debt History

Total Debt

Investment Outlook

Alcoa Investment Opportunity
Alcoa Corporation has a volatility of 2.39 and is 1.7 times more volatile than DOW. 22% 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 22 (%) 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 $59.41 in 30 days. 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.

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.
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