Alcoa Backtested Returns
Macroaxis considers Alcoa to be not too volatile. Alcoa
secures Sharpe Ratio (or Efficiency) of -0.192 which signifies that Alcoa
had -0.192% 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 Corporation exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation
of 1.73 and Risk Adjusted Performance
of 0.35 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 0.7715 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 historical returns, it is always good to be careful when utilizing equity current trending 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 Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Alcoa has expected return of -0.4437%. Please be advised to confirm Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to decide if Alcoa past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.45) |
Modest reverse predictability
Alcoa Corporation has modest reverse predictability. Overlapping area represents the amount of predictability between Alcoa time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 2018. 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 price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Alcoa price fluctuation can be explain by its past prices. Given that Alcoa Corporation 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|| -0.45|
|Spearman Rank Test|| -0.36|
|Price Variance|| 0.65|
|Lagged Price Variance|| 3.44|
Alcoa Lagged Returns