Alcoa Backtesting

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AA -- USA Stock  

Sell-off Trend

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation and determine expected loss or profit from investing in Alcoa over given investment horizon. Please continue to Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Alcoa 'What if' Analysis

October 24, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
January 22, 2020
0.00
If you would invest  0.00  in Alcoa on October 24, 2019 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 90 days. Alcoa is related to or competes with Procter Gamble, Kaiser Aluminum, Aluminum, Merck, Coca Cola, and Century Aluminum. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products in the United States, Spain, Australia, Bra...

Alcoa Upside/Downside Indicators

Information Ratio(0.07)
Maximum Drawdown18.26
Value At Risk(4.33)
Potential Upside5.19

Alcoa Market Premium Indicators

Risk Adjusted Performance(0.005884)
Jensen Alpha(0.14)
Total Risk Alpha(0.81)
Treynor Ratio(0.28)

Alcoa Backtested Returns

Macroaxis considers Alcoa to be somewhat reliable. Alcoa secures Sharpe Ratio (or Efficiency) of -0.1025 which signifies that the organization had -0.1025% of return per unit of standard deviation over the last 3 months. 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 Corporation exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Risk Adjusted Performance of (0.005884) and Mean Deviation of 2.01 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.3404 which signifies that 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. Even though it is essential to pay attention to Alcoa historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Alcoa Corporation exposes twenty-eight different technical indicators which can help you to evaluate its performance. Alcoa has expected return of -0.2772%. Please be advised to confirm Alcoa Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha to decide if Alcoa past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 
correlation synergy

Good predictability

Alcoa Corporation has good predictability. Overlapping area represents the amount of predictability between Alcoa time series from October 24, 2019 to December 8, 2019 and December 8, 2019 to January 22, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient0.65
Spearman Rank Test0.41
Residual Average0.0
Price Variance1.92

Alcoa lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Alcoa Lagged Returns

 Regressed Prices 
    
  Timeline 

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Instant Ratings

Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance
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Alcoa Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alcoa and NORANDA ALUM HLDG. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Please continue to Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.