Alcoa (Australia) Market Value
| AAI Stock | 70.79 0.12 0.17% |
| Symbol | Alcoa |
Alcoa 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Alcoa's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Alcoa.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Alcoa on December 13, 2022 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 720 days. Alcoa is related to or competes with Farm Pride, Viva Leisure, G8 Education, Dicker Data, ABACUS STORAGE, COAST ENTERTAINMENT, and AiMedia Technologies. Alcoa is entity of Australia. It is traded as Stock on AU exchange. More
Alcoa Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Alcoa's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Alcoa Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.6 | |||
| Information Ratio | 0.1713 | |||
| Maximum Drawdown | 14.75 | |||
| Value At Risk | (3.69) | |||
| Potential Upside | 5.86 |
Alcoa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alcoa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alcoa's standard deviation. In reality, there are many statistical measures that can use Alcoa historical prices to predict the future Alcoa's volatility.| Risk Adjusted Performance | 0.1742 | |||
| Jensen Alpha | 0.4356 | |||
| Total Risk Alpha | 0.1404 | |||
| Sortino Ratio | 0.1931 | |||
| Treynor Ratio | 0.4138 |
Alcoa Inc Backtested Returns
Alcoa appears to be very steady, given 3 months investment horizon. Alcoa Inc secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of standard deviation over the last 3 months. By analyzing Alcoa's technical indicators, you can evaluate if the expected return of 0.67% is justified by implied risk. Please makes use of Alcoa's mean deviation of 2.28, and Risk Adjusted Performance of 0.1742 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alcoa holds a performance score of 17. The firm shows a Beta (market volatility) of 1.52, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Alcoa will likely underperform. Please check Alcoa's semi deviation, coefficient of variation, and the relationship between the mean deviation and downside deviation , to make a quick decision on whether Alcoa's price patterns will revert.
Auto-correlation | 0.00 |
No correlation between past and present
Alcoa Inc has no correlation between past and present. Overlapping area represents the amount of predictability between Alcoa time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd of December 2024. 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 0.0 indicates that just 0.0% of current Alcoa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Alcoa Inc lagged returns against current returns
Autocorrelation, which is Alcoa stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Alcoa's stock expected returns. We can calculate the autocorrelation of Alcoa returns to help us make a trade decision. For example, suppose you find that Alcoa has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Alcoa regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Alcoa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alcoa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alcoa stock over time.
Current vs Lagged Prices |
| Timeline |
Alcoa Lagged Returns
When evaluating Alcoa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alcoa stock have on its future price. Alcoa autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Alcoa autocorrelation shows the relationship between Alcoa stock current value and its past values and can show if there is a momentum factor associated with investing in Alcoa Inc.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Alcoa Stock Analysis
When running Alcoa's price analysis, check to measure Alcoa's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Alcoa is operating at the current time. Most of Alcoa's value examination focuses on studying past and present price action to predict the probability of Alcoa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alcoa's price. Additionally, you may evaluate how the addition of Alcoa to your portfolios can decrease your overall portfolio volatility.