Alcoa Risk Analysis And Volatility Evaluation

AA -- USA Stock  

USD 49.15  1.22  2.55%

Macroaxis considers Alcoa to be not too risky. Alcoa secures Sharpe Ratio (or Efficiency) of -0.2143 which signifies that Alcoa had -0.2143% 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 1.32 and Risk Adjusted Performance of 0.01 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Alcoa Technical Analysis

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.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Alcoa has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Alcoa are completely uncorrelated. Furthermore, Alcoa CorporationIt does not look like Alcoa alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Alcoa is -466.68. The daily returns are destributed with a variance of 2.5 and standard deviation of 1.58. The mean deviation of Alcoa Corporation is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.27

Actual Return Volatility

Alcoa Corporation accepts 1.5808% volatility on return distribution over the 30 days horizon. DOW inherits 0.5593% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Alcoa Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Alcoa Investment Opportunity
Alcoa Corporation has a volatility of 1.58 and is 2.82 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Alcoa Total Debt History

Total Debt

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