Alcoa Risk Analysis And Volatility

AA -- USA Stock  

USD 21.46  0.24  1.11%

Macroaxis considers Alcoa to be somewhat reliable. Alcoa secures Sharpe Ratio (or Efficiency) of -0.0047 which signifies that the organization had -0.0047% 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-six different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 2.23 and Risk Adjusted Performance of 0.0042 to double-check risk estimate we provide.
Interest Expense

90 Days Market Risk

Somewhat reliable

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Actively responds to market
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.
3 Months Beta |Analyze Alcoa Demand Trend
Check current 30 days Alcoa correlation with market (DOW)
β = 1.9538

Alcoa Central Daily Price Deviation

Alcoa Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Alcoa high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Alcoa closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Alcoa Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.9538 . 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, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Alcoa is significantly underperforming DOW.
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Alcoa is -21493.43. The daily returns are destributed with a variance of 8.33 and standard deviation of 2.89. The mean deviation of Alcoa Corporation is currently at 2.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
Alpha over DOW
Beta against DOW=1.95
Overall volatility
Information ratio =0.01

Alcoa Return Volatility

the company accepts 2.8855% volatility on return distribution over the 30 days horizon. the entity inherits 0.9048% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Alcoa Investment Opportunity

Alcoa Corporation has a volatility of 2.89 and is 3.21 times more volatile than DOW. 25% 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 25 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Corporation to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Alcoa to be traded at $20.82 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

correlation synergy
Poor 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.

Alcoa Current Risk Indicators

Alcoa Suggested Diversification Pairs

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