Alcoa Stock Volatility

AA -  USA Stock  

USD 57.40  0.63  1.09%

Alcoa Corp appears to be very steady, given 3 months investment horizon. Alcoa Corp secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had 0.12% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Alcoa Corp, which you can use to evaluate the future volatility of the firm. Please makes use of Alcoa Corp's mean deviation of 2.62, and Risk Adjusted Performance of 0.0683 to double-check if our risk estimates are consistent with your expectations.

Alcoa Volatility 

 
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Alcoa Corp Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Alcoa daily returns, and it is calculated using variance and standard deviation. We also use Alcoa's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Alcoa Corp volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Hyperactively responds to market trends
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Alcoa Corp can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Alcoa Corp at lower prices. For example, an investor can purchase Alcoa stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Alcoa Corp's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Alcoa Corp Market Sensitivity And Downside Risk

Alcoa Corp's beta coefficient measures the volatility of Alcoa stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Alcoa stock's returns against your selected market. In other words, Alcoa Corp's beta of 1.8 provides an investor with an approximation of how much risk Alcoa Corp stock can potentially add to one of your existing portfolios.
Let's try to break down what Alcoa's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Alcoa Corp will likely underperform.
3 Months Beta |Analyze Alcoa Corp Demand Trend
Check current 90 days Alcoa Corp correlation with market (DOW)

Alcoa Beta

    
  1.8  
Alcoa standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  3.36  
It is essential to understand the difference between upside risk (as represented by Alcoa Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Alcoa Corp stock's daily returns or price. Since the actual investment returns on holding a position in Alcoa Corp stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Alcoa Corp.

Alcoa Corp Implied Volatility

    
  81.08  
Alcoa Corp's implied volatility exposes the market's sentiment of Alcoa Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Alcoa Corp's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Alcoa Corp stock will not fluctuate a lot when Alcoa Corp's options are near their expiration.

Alcoa Corp Stock Volatility Analysis

Volatility refers to the frequency at which Alcoa Corp stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Alcoa Corp's price changes. Investors will then calculate the volatility of Alcoa Corp's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Alcoa Corp's volatility:

Historical Volatility

This type of stock volatility measures Alcoa Corp's fluctuations based on previous trends. It's commonly used to predict Alcoa Corp's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Alcoa Corp's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Alcoa Corp Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Alcoa Corp Projected Return Density Against Market

Allowing for the 90-day total investment horizon the stock has the beta coefficient of 1.8031 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Alcoa Corp will likely underperform.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Alcoa Corp or Basic Materials sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Alcoa Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Alcoa stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.3773, implying that it can generate a 0.38 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Alcoa Corp's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Alcoa Corp stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Alcoa Corp Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Alcoa Corp or Basic Materials sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Alcoa Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Alcoa stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Allowing for the 90-day total investment horizon the coefficient of variation of Alcoa Corp is 867.68. The daily returns are distributed with a variance of 11.31 and standard deviation of 3.36. The mean deviation of Alcoa Corp is currently at 2.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.83
α
Alpha over DOW
0.38
β
Beta against DOW1.80
σ
Overall volatility
3.36
Ir
Information ratio 0.09

Alcoa Corp Stock Return Volatility

Alcoa Corp historical daily return volatility represents how much Alcoa Corp stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 3.3625% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 0.8701% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Alcoa Corp Volatility

Volatility is a rate at which the price of Alcoa Corp or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Alcoa Corp may increase or decrease. In other words, similar to Alcoa's beta indicator, it measures the risk of Alcoa Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Alcoa Corp fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2022
Market Capitalization3.9 B4.4 B
Alcoa Corporation, together with its subsidiaries, produces and sells bauxite, alumina, and aluminum products in the United States, Spain, Australia, Brazil, Canada, and internationally. The company was founded in 1888 and is headquartered in Pittsburgh, Pennsylvania. Alcoa Corp operates under Aluminum classification in the United States and is traded on New York Stock Exchange. It employs 12900 people.

Nearest Alcoa long CALL Option Payoff at Expiration

Alcoa Corp's implied volatility is one of the determining factors in the pricing options written on Alcoa Corp. Implied volatility approximates the future value of Alcoa Corpusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Alcoa Corp over a specific time period.
View All Alcoa options
2022-01-28 CALL at $30.0 is a CALL option contract on Alcoa Corp's common stock with a strick price of 30.0 expiring on 2022-01-28. The contract was last traded on 2022-01-24 at 11:46:38 for $25.9 and, as of today, has 0 days remaining before the expiration. The option is currently trading at a bid price of $27.7, and an ask price of $28.45. The implied volatility as of the 28th of January is 551.3886.
 Profit 
Share
      Alcoa Corp Price At Expiration 

Alcoa Corp Investment Opportunity

Alcoa Corp has a volatility of 3.36 and is 3.86 times more volatile than DOW. 28  of all equities and portfolios are less risky than Alcoa Corp. Compared to the overall equity markets, volatility of historical daily returns of Alcoa Corp is lower than 28 () of all global equities and portfolios over the last 90 days. Use Alcoa Corp to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Alcoa Corp to be traded at $55.68 in 90 days. . Let's try to break down what Alcoa's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Alcoa Corp will likely underperform.

Very weak diversification

The correlation between Alcoa Corp and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Corp and DJI in the same portfolio assuming nothing else is changed.

Alcoa Corp Additional Risk Indicators

The analysis of Alcoa Corp's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Alcoa Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Alcoa Corp stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0683
Market Risk Adjusted Performance0.1441
Mean Deviation2.62
Semi Deviation3.29
Downside Deviation3.44
Coefficient Of Variation1361.8
Standard Deviation3.43
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Alcoa Corp Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Alcoa Corp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Alcoa Corp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Alcoa Corp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Alcoa Corp.
Please continue to Trending Equities. Note that the Alcoa Corp information on this page should be used as a complementary analysis to other Alcoa Corp's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.

Complementary Tools for Alcoa Stock analysis

When running Alcoa Corp price analysis, check to measure Alcoa Corp's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Alcoa Corp is operating at the current time. Most of Alcoa Corp's value examination focuses on studying past and present price action to predict the probability of Alcoa Corp's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Alcoa Corp's price. Additionally, you may evaluate how the addition of Alcoa Corp to your portfolios can decrease your overall portfolio volatility.
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Is Alcoa Corp's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Alcoa Corp. If investors know Alcoa will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Alcoa Corp listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Alcoa Corp is measured differently than its book value, which is the value of Alcoa that is recorded on the company's balance sheet. Investors also form their own opinion of Alcoa Corp's value that differs from its market value or its book value, called intrinsic value, which is Alcoa Corp's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Alcoa Corp's market value can be influenced by many factors that don't directly affect Alcoa Corp's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Alcoa Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Alcoa Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Alcoa Corp's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.