American Airlines Backtesting

AAL -- USA Stock  

USD 31.49  0.63  2.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of American Airlines Group and determine expected loss or profit from investing in American Airlines over given investment horizon. Check also American Airlines Hype Analysis, American Airlines Correlation, American Airlines Valuation, American Airlines Volatility as well as analyze American Airlines Alpha and Beta and American Airlines Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

American Airlines 'What if' Analysis

March 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
May 21, 2019
0.00
If you would invest  0.00  in American Airlines on March 22, 2019 and sell it all today you would earn a total of 0.00 from holding American Airlines Group or generate 0.0% return on investment in American Airlines over 60 days. American Airlines is related to or competes with Hawaiian Holdings, Alaska Air, Avianca Holdings, China Eastern, Copa Holdings, and Delta Air. American Airlines Group Inc., through its subsidiaries, operates as a network air carrier

American Airlines Upside/Downside Indicators

Downside Deviation1.72
Information Ratio0.0304
Maximum Drawdown6.15
Value At Risk(2.80)
Potential Upside2.42

American Airlines Market Premium Indicators

Risk Adjusted Performance0.0223
Jensen Alpha0.0486
Total Risk Alpha0.0784
Sortino Ratio0.029
Treynor Ratio0.0313

American Airlines Backtested Returns

We consider American Airlines not too volatile. American Airlines secures Sharpe Ratio (or Efficiency) of 0.0537 which signifies that the organization had 0.0537% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for American Airlines Group which you can use to evaluate future volatility of the firm. Please confirm American Airlines Mean Deviation of 1.3 and Risk Adjusted Performance of 0.0223 to double-check if risk estimate we provide are consistent with the epected return of 0.0895%. American Airlines has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9322 which signifies that American Airlines returns are very sensitive to returns on the market. as market goes up or down, American Airlines is expected to follow. Although it is extremely important to respect American Airlines 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 American Airlines technical indicators you can presently evaluate if the expected return of 0.0895% will be sustainable into the future. American Airlines right now shows a risk of 1.6662%. Please confirm American Airlines Treynor Ratio, Expected Short fall and the relationship between Jensen Alpha and Potential Upside to decide if American Airlines will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.30) 
correlation synergy

Weak reverse predictability

American Airlines Group has weak reverse predictability. Overlapping area represents the amount of predictability between American Airlines time series from March 22, 2019 to April 21, 2019 and April 21, 2019 to May 21, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of American Airlines price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current American Airlines price fluctuation can be explain by its past prices. Given that American Airlines Group has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of American Airlines for similar time interval.
Correlation Coefficient-0.3
Spearman Rank Test-0.67
Residual Average0.0
Price Variance0.98

American Airlines lagged returns against current returns

 Current and Lagged Values 
      Timeline 

American Airlines regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

American Airlines Lagged Returns

 Regressed Prices 
      Timeline 

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American Airlines Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for American Airlines and Hawaiian Holdings. 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 American Airlines Hype Analysis, American Airlines Correlation, American Airlines Valuation, American Airlines Volatility as well as analyze American Airlines Alpha and Beta and American Airlines Performance. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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