Alcoa Inc Backtested Returns
Macroaxis considers Alcoa to be not too volatile. Alcoa Inc
secures Sharpe Ratio (or Efficiency) of -0.1271 which signifies that Alcoa Inc
had -0.1271% 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 1.38 and Risk Adjusted Performance
of (0.04) to double-check risk estimate we provide. Macroaxis gives Alcoa performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.804 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 Inc historical returns, it is always good to be careful when utilizing equity current trading 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 Inc exposes twenty-eight different technical indicators which can help you to evaluate its performance. Alcoa Inc has expected return of -0.2709%. Please be advised to confirm Alcoa Inc Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha to decide if Alcoa Inc past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.72) |
Almost perfect reverse predictability
Alcoa Inc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from January 27, 2017 to February 11, 2017 and February 11, 2017 to February 26, 2017. 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 Inc price movement. The serial correlation of -0.72 indicates that around 72.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alcoa for similar time interval.
|Correlation Coefficient|| -0.72|
|Spearman Rank Test|| -0.39|
|Price Variance|| 2.3|
|Lagged Price Variance|| 0.35|
Alcoa Lagged Returns