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
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    Backtest

    Alcoa 'What if' Analysis

    January 21, 2017
     0.00 
    No Change 0.00  0.0%
    In 31 days
    February 20, 2017
     0.00 
    If you would invest  0.00  in Alcoa on January 21, 2017 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 RELIANCE STL, Southern Copper, ALLEGHENY TECH, CARPENTER TECH, and Constellium NV. 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

    We consider Alcoa not too volatile. Alcoa Inc secures Sharpe Ratio (or Efficiency) of 0.0033 which signifies that Alcoa Inc had 0.0033% 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. We have found twenty-eight technical indicators for Alcoa Inc which you can use to evaluate future volatility of the firm. Please confirm Alcoa Inc Mean Deviation of 1.42 and Risk Adjusted Performance of 0.0336 to double-check if risk estimate we provide are consistent with the epected return of 0.0063%. Alcoa has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.5842 which signifies that as returns on market increase, returns on owning Alcoa are expected to decrease at a much smaller rate. During bear market, Alcoa is likely to outperform the market.. Although it is extremely important to respect Alcoa Inc historical returns, it is beter to be realistic about what you can 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. By analyzing Alcoa Inc technical indicators you can presently evaluate if the expected return of 0.0063% will be sustainable into the future. Alcoa Inc right now shows risk of 1.879%. Please confirm Alcoa Inc Information Ratio, Treynor Ratio and the relationship between Downside Deviation and Total Risk Alpha to decide if Alcoa Inc will be following its price patterns.
    Advice Volatility Trend Exposure 
    15 days auto-correlation(0.59) 

    Good reverse predictability

    Alcoa Inc has good reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from January 21, 2017 to February 5, 2017 and February 5, 2017 to February 20, 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 -0.59 indicates that roughly 59.0% 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 -0.59
    Spearman Rank Test -0.23
    Price Variance 0.69
    Lagged Price Variance 0.3

    Alcoa Lagged Returns

     Regressed Prices 
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    Alcoa Performance vs NYSE

    The median price of Alcoa for the period between Sat, Jan 21, 2017 and Mon, Feb 20, 2017 is 36.86 with a coefficient of variation of 2.45. The daily time series for the period is distributed with a sample standard deviation of 0.91, arithmetic mean of 37.03, and mean deviation of 0.79. The Stock received some media coverage during the period.
    Price Growth (%)  
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