Alcoa Risk Analysis

    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.
    Investment 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.
    One Month Beta |Analyze Alcoa Inc Demand Trend
    Check current 30 days Alcoa correlation with market (NYSE)
    β = 2.3026
    Alcoa Large BetaAlcoa Inc Beta Legend

    Projected Return Density Against Market

    Allowing for the 30-days total investment horizon, the stock has beta coefficient of 2.3026 . 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. Moreover, Alcoa Inc has an alpha of 0.4473 implying that it can potentially generate 0.4473% excess return over NYSE after adjusting for the inherited market risk (beta).
     Predicted Return Density 
    Benchmark  Embed   Returns 
    Allowing for the 30-days total investment horizon, the coefficient of variation of Alcoa is 391.22. The daily returns are destributed with a variance of 6.37 and standard deviation of 2.52. The mean deviation of Alcoa Inc is currently at 2.03. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.47
    α
    Alpha over NYSE
    = 0.45 
    βBeta against NYSE= 2.30 
    σ
    Overall volatility
    = 2.52 
     IrInformation ratio = 0.18 

    Actual Return Volatility

    Alcoa Inc accepts 2.5238% volatility on return distribution over the 30 days horizon. NYSE inherits 0.4104% risk (volatility on return distribution) over the 30 days horizon.
     Daily Returns (%) 
    Benchmark  Embed   Timeline 

    30 Days Market Risk

    Not too volatile

    Chance of Distress in 24 months

    Below average

    30 Days Economic Sensitivity

    Hypersensitive to market
    Total Debt
    Alcoa Inc Total Debt History
    Largest Trends
    Alcoa Largest Period Trend
    Investment Outlook
    Alcoa Investment Opportunity
    Alcoa Inc has a volatility of 2.52 and is 6.15 times more volatile than NYSE. 24% of all equities and portfolios are less risky than Alcoa. Compared to the overall equity markets, volatility of historical daily returns of Alcoa Inc is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Alcoa Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Alcoa to be traded at $32.58 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

    Very weak diversification
    Overlapping area represents the amount of risk that can be diversified away by holding Alcoa Inc. and equity matching NYA index in the same portfolio.