Alcoa Risk Analysis

    Macroaxis considers Alcoa to be not too volatile. Alcoa Inc secures Sharpe Ratio (or Efficiency) of -0.0283 which signifies that Alcoa Inc had -0.0283% 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 Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Inc Mean Deviation of 1.4 and Risk Adjusted Performance of (0.03) to double-check risk estimate we provide.
    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 Inc Demand Trend
    Check current 30 days Alcoa correlation with market (DOW)
    β = 1.3427
    Alcoa Large BetaAlcoa Inc Beta Legend

    Projected Return Density Against Market

    Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.3427 . 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 Inc 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 -3537.92. The daily returns are destributed with a variance of 2.92 and standard deviation of 1.71. The mean deviation of Alcoa Inc is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
    α
    Alpha over DOW
    =(0.18) 
    βBeta against DOW= 1.34 
    σ
    Overall volatility
    = 1.71 
     IrInformation ratio =(0.10) 

    Actual Return Volatility

    Alcoa Inc accepts 1.7083% volatility on return distribution over the 30 days horizon. DOW inherits 0.4752% 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

    Almost imposible

    30 Days Economic Sensitivity

    Totally responsive to market

    Total Debt

    Alcoa Inc Total Debt History

    Total Debt

    Largest Trends

    Alcoa Largest Period Trend
     31.22 
      
     30.82 
    0.40  1.28%
    Lowest period price (30 days)
     34.81 
      
     33.73 
    1.08  3.10%
    Highest period price (30 days)

    Investment Outlook

    Alcoa Investment Opportunity
    Alcoa Inc has a volatility of 1.71 and is 3.56 times more volatile than DOW. 16% of all equities and portfolios are less risky than Alcoa. Compared to the overall equity markets, volatility of historical daily returns of Alcoa Inc is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Inc to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Alcoa to be traded at 36.6 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

    Weak diversification
    Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Inc. and equity matching DJI index in the same portfolio.