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 TrendCheck current 30 days Alcoa correlation with market (DOW)|
β = 0.1388
Alcoa Technical Analysis
Projected Return Density Against MarketAllowing 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