American Airlines Group Backtested Returns
We consider American Airlines not too risky. American Airlines Group
secures Sharpe Ratio (or Efficiency) of 0.125 which signifies that American Airlines Group
had 0.125% 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-eight technical indicators
for American Airlines Group Inc which you can use to evaluate future volatility of the firm. Please confirm American Airlines Group Mean Deviation
of 1.4 and Risk Adjusted Performance
of (0.02) to double-check if risk estimate we provide are consistent with the epected return of 0.1591%. American Airlines has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of 2.1599 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, American Airlines will likely underperform.. Although it is extremely important to respect American Airlines Group historical returns, it is beter to be realistic about what you can do with the information about equity current trading 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 Group technical indicators you can presently evaluate if the expected return of 0.1591% will be sustainable into the future. American Airlines Group right now shows risk of 1.2734%. Please confirm American Airlines Group Treynor Ratio, Expected Short fall and the relationship between Jensen Alpha and Potential Upside to decide if American Airlines Group will be following its price patterns.
|15 days auto-correlation||(0.61) |
Very good reverse predictability
American Airlines Group Inc has very good reverse predictability. Overlapping area represents the amount of predictability between American Airlines time series from January 28, 2017 to February 12, 2017 and February 12, 2017 to February 27, 2017. 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 Group price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current American Airlines price fluctuation can be explain by its past prices. Given that American Airlines Group Inc 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|| -0.61|
|Spearman Rank Test|| -0.38|
|Price Variance|| 0.22|
|Lagged Price Variance|| 0.7|
American Airlines Lagged Returns