We consider Alcoa not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of 0.0213 which signifies that Alcoa had 0.0213% 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 1.87 and Risk Adjusted Performance of 0.1034 to double-check if risk estimate we provide are consistent with the epected return of 0.0857%.
|Investment 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 TrendCheck current 30 days Alcoa correlation with market (DOW)|
β = 0.6266
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Alcoa has beta of 0.6266 . 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 0.4068 implying that it can potentially generate 0.4068% 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 4699.44. The daily returns are destributed with a variance of 16.22 and standard deviation of 4.03. The mean deviation of Alcoa Corporation is currently at 2.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47