Alcoa Risk Analysis

Alcoa Corporation -- USA Stock  

USD 48.5  0.26  0.54%

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 Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 3.7406
Alcoa Large BetaAlcoa Beta Legend

Projected Return Density Against Market

Allowing 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
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=(0.13) 
βBeta against DOW= 3.74 
σ
Overall volatility
= 1.53 
 IrInformation ratio = 0.15 

Actual Return Volatility

Alcoa Corporation accepts 1.5305% volatility on return distribution over the 30 days horizon. DOW inherits 0.2342% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alcoa Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Hypersensitive to market

Total Debt

Alcoa Total Debt History

Total Debt

Largest Trends

Alcoa Largest Period Trend

Investment Outlook

Alcoa Investment Opportunity
Alcoa Corporation has a volatility of 1.53 and is 6.65 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. Use Alcoa Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Alcoa to be traded at $53.35 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alcoa will likely underperform.

Alcoa correlation with market

Very weak 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.