Alcoa Backtesting

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

    Alcoa 'What if' Analysis

    December 18, 2016
    No Change 0.00  0.0%
    In 31 days
    January 17, 2017
    If you would invest  0.00  in Alcoa on December 18, 2016 and sell it all today you would earn a total of 0.00 from holding Alcoa Inc or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with ALUMINUM CP, KAISER ALUMINUM, CENTURY ALUMINUM, RELIANCE STL, Southern Copper, and ALLEGHENY TECH. It owns seven bauxite mines located near principal Atlantic and Pacific markets and offer smelter grade alumina to alumi...

    Alcoa Upside/Downside Indicators


    Alcoa Market Premium Indicators

    Alcoa Inc lagged returns against current returns

     Current and Lagged Values 
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    Alcoa regressed lagged prices vs. current prices

     Current vs Lagged Prices 
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    Alcoa Inc Backtested Returns

    Macroaxis considers Alcoa not too volatile given 1 month investment horizon. Alcoa Inc secures Sharpe Ratio (or Efficiency) of 0.2556 which signifies that Alcoa Inc had 0.2556% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Alcoa Inc technical indicators you can presently evaluate if the expected return of 0.6451% is justified by implied risk. Please makes use of Alcoa Inc Mean Deviation of 1.93 and Risk Adjusted Performance of 0.0907 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 17. The firm shows Beta (market volatility) of 2.3026 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alcoa will likely underperform.. Although it is vital to follow to Alcoa Inc historical returns, it is good to be conservative about what you can actually do with the information about equity current trading patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-six technical indicators for Alcoa Inc which you can use to evaluate performance of the firm. Please makes use of Alcoa Inc Mean Deviation, Information Ratio, Treynor Ratio, as well as the relationship between Downside Deviation and Total Risk Alpha to make a quick decision on weather Alcoa price patterns will revert.
    Advice Volatility Trend Exposure 
    15 days auto-correlation(0.65) 

    Very good reverse predictability

    Alcoa Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from December 18, 2016 to January 2, 2017 and January 2, 2017 to January 17, 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 -0.65 indicates that roughly 65.0% 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 -0.65
    Spearman Rank Test -0.53
    Price Variance 2.03
    Lagged Price Variance 0.43

    Alcoa Lagged Returns

     Regressed Prices 
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    Alcoa Performance vs NYSE

    The median price of Alcoa for the period between Sun, Dec 18, 2016 and Tue, Jan 17, 2017 is 30.16 with a coefficient of variation of 4.08. The daily time series for the period is distributed with a sample standard deviation of 1.23, arithmetic mean of 30.19, and mean deviation of 0.89. The Stock received some media coverage during the period.
    Price Growth (%)  
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