Alcoa Backtesting

AA -- USA Stock  

USD 42.03  0.58  1.40%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation 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.
 Time Horizon     30 Days    Login   to change

Alcoa 'What if' Analysis

July 20, 2018
No Change 0.00  0.0%
In 31 days
August 19, 2018
If you would invest  0.00  in Alcoa on July 20, 2018 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with Reliance Steel, Allegheny Technologies, Carpenter Technology, Arconic, Constellium N, and MCDONALDS CP. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

Alcoa Upside/Downside Indicators

Downside Deviation3.19
Information Ratio0.009672
Maximum Drawdown11.99
Value At Risk2.98
Potential Upside4.12

Alcoa Market Premium Indicators

Risk Adjusted Performance0.0257
Jensen Alpha0.042114
Total Risk Alpha0.40
Sortino Ratio0.007959
Treynor Ratio0.0638

Alcoa Backtested Returns

Macroaxis considers Alcoa not too volatile given 1 month investment horizon. Alcoa secures Sharpe Ratio (or Efficiency) of 0.0888 which signifies that Alcoa had 0.0888% 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-one technical indicators for Alcoa Corporation which you can use to evaluate future volatility of the firm. Please makes use of Alcoa Mean Deviation of 1.96 and Risk Adjusted Performance of 0.0257 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alcoa holds performance score of 5. The firm shows Beta (market volatility) of 1.1673 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 extremely important to respect Alcoa historical returns, it is better to be realistic regarding the information on equity current trending 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 technical indicators you can presently evaluate if the expected return of 0.2306% will be sustainable into the future. Please makes use of Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather Alcoa price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 

Weak predictability

Alcoa Corporation has weak predictability. Overlapping area represents the amount of predictability between Alcoa time series from July 20, 2018 to August 4, 2018 and August 4, 2018 to August 19, 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 0.2 indicates that over 20.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient 0.2
Spearman Rank Test -0.45
Price Variance 1.59
Lagged Price Variance 0.71

Alcoa lagged returns against current returns

 Current and Lagged Values 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alcoa Lagged Returns

 Regressed Prices 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Alcoa and Reliance Steel Aluminum. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.