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 TrendCheck current 30 days Alcoa correlation with market (DOW)|
β = -2.5772
Projected Return Density Against MarketAllowing 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).
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