Alcoa Risk Analysis And Volatility Evaluation

AA -- USA Stock  

USD 38.60  0.25  0.65%

Macroaxis considers Alcoa to be not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of -0.1712 which signifies that Alcoa had -0.1712% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 0.4949 and Risk Adjusted Performance of 0.3882 to double-check risk estimate we provide.
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.
One Month Beta |Analyze Alcoa Demand Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 0.0341
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 seventeen. 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.

Alcoa Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Alcoa has beta of 0.0341 . 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 0.2824 implying that it can potentially generate 0.2824% 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 -584.23. The daily returns are destributed with a variance of 6.93 and standard deviation of 2.63. The mean deviation of Alcoa Corporation is currently at 2.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.28
β
Beta against DOW=0.0341
σ
Overall volatility
=2.63
Ir
Information ratio =0.56

Alcoa Return Volatility

Alcoa Corporation accepts 2.6321% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alcoa Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Alcoa Investment Opportunity

Alcoa Corporation has a volatility of 2.63 and is 2.53 times more volatile than DOW. 23% 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 23 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Alcoa to be traded at $42.46 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

Significant 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.

Alcoa Volatility Indicators

Alcoa Corporation Current Risk Indicators

Check also Trending Equities. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Search macroaxis.com