Alcoa Risk Analysis

Alcoa Corporation -- USA Stock  

USD 38.47  2.59  6.31%

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 Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 0.6266
Alcoa Small BetaAlcoa Beta Legend

Projected Return Density Against Market

Allowing 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.41 
βBeta against DOW= 0.63 
σ
Overall volatility
= 4.03 
 IrInformation ratio = 0.17 

Actual Return Volatility

Alcoa Corporation accepts 4.028% volatility on return distribution over the 30 days horizon. DOW inherits 0.4616% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alcoa Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Follows market closely

Total Debt

Alcoa Total Debt History

Total Debt

Largest Trends

Alcoa Largest Period Trend
 36.46 
  
 36.38 
0.08  0.22%
Lowest period price (30 days)
 38.74 
  
 39.77 
1.03  2.66%
Highest period price (30 days)

Investment Outlook

Alcoa Investment Opportunity
Alcoa Corporation has a volatility of 4.03 and is 8.76 times more volatile than DOW. 39% 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 39 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Corporation to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Alcoa to be traded at $36.55 in 30 days. 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.

Alcoa correlation with market

Average 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.