Alcoa Risk Analysis

    We consider Alcoa not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of 0.008 which signifies that Alcoa had 0.008% 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-eight technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please confirm Alcoa Mean Deviation of 1.73 and Risk Adjusted Performance of 0.0111 to double-check if risk estimate we provide are consistent with the epected return of 0.0174%.
    Investment Horizon     30 Days    Login   to change

    Alcoa Market Sensitivity

    As returns on market increase, returns on owning Alcoa are expected to decrease by larger amounts. On the other hand, during market turmoil, Alcoa is expected to significantly outperform it.
    One Month Beta |Analyze Alcoa Demand Trend
    Check current 30 days Alcoa correlation with market (DOW)
    β = -2.5772
    Alcoa Large Negative BetaAlcoa Beta Legend

    Projected Return Density Against Market

    Allowing for the 30-days total investment horizon, Alcoa Corporation has beta of -2.5772 . This suggests as returns on its benchmark rise, returns on holding Alcoa Corporation are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Alcoa is expected to outperform its benchmark. Moreover, Alcoa Corporation has an alpha of 0.1109 implying that it can potentially generate 0.1109% 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 12541.14. The daily returns are destributed with a variance of 4.76 and standard deviation of 2.18. The mean deviation of Alcoa Corporation is currently at 1.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.3
    α
    Alpha over DOW
    = 0.11 
    βBeta against DOW=(2.58) 
    σ
    Overall volatility
    = 2.18 
     IrInformation ratio =(0.01) 

    Actual Return Volatility

    Alcoa Corporation accepts 2.1822% volatility on return distribution over the 30 days horizon. DOW inherits 0.3218% risk (volatility on return distribution) over the 30 days horizon.
     Performance (%) 
          Timeline 

    30 Days Market Risk

    Not too volatile

    Chance of Distress in 24 months

    Below average

    30 Days Economic Sensitivity

    Completely opposite to market

    Total Debt

    Alcoa Total Debt History

    Total Debt

    Largest Trends

    Alcoa Largest Period Trend
     30.59 
      
     29.69 
    0.90  2.94%
    Lowest period price (30 days)
     32.60 
      
     33.50 
    0.90  2.76%
    Highest period price (30 days)

    Investment Outlook

    Alcoa Investment Opportunity
    Alcoa Corporation has a volatility of 2.18 and is 6.81 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Corporation to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Alcoa to be traded at 41.19 in 30 days. As returns on market increase, returns on owning Alcoa are expected to decrease by larger amounts. On the other hand, during market turmoil, Alcoa is expected to significantly outperform it.

    Alcoa correlation with market

    Very good 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.