Macroaxis considers Alcoa not too risky given 1 month investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.2302 which signifies that Alcoa had 0.2302% 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-six technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alcoa Mean Deviation of 1.19 and Risk Adjusted Performance of 0.0645 to double-check if our risk estimates are consistent with your expectations.
|Investment Horizon||30 Days Login to change|
Alcoa Market Sensitivity
|As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alcoa will likely underperform.One Month Beta |Analyze Alcoa Demand TrendCheck current 30 days Alcoa correlation with market (DOW)|
β = 3.7406
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, the stock has beta coefficient of 3.7406 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Alcoa will likely underperform. Additionally, Alcoa Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Allowing for the 30-days total investment horizon, the coefficient of variation of Alcoa is 434.39. The daily returns are destributed with a variance of 2.34 and standard deviation of 1.53. The mean deviation of Alcoa Corporation is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23