Altaba Backtesting

AABA -- USA Stock  

USD 73.36  0.09  0.12%

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

Altaba 'What if' Analysis

June 22, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 22, 2018
0.00
If you would invest  0.00  in Altaba on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding Altaba or generate 0.0% return on investment in Altaba over 30 days. Altaba is related to or competes with Diamond Hill, AllianceBernstein, Bank of New York, Blackstone Group, Carlyle Group, Eaton Vance, and Jupai Holdings. Altaba Inc. operates as a non-diversified, closed-end management investment company in the United States

Altaba Upside/Downside Indicators

Information Ratio0.32
Maximum Drawdown5.65
Value At Risk3.14
Potential Upside1.75
  

Altaba Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.39
Total Risk Alpha0.81
Treynor Ratio0.637

Altaba Backtested Returns

Macroaxis considers Altaba to be not too risky. Altaba secures Sharpe Ratio (or Efficiency) of -0.2107 which signifies that Altaba had -0.2107% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Altaba exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Altaba Risk Adjusted Performance of 0.12 and Mean Deviation of 1.32 to double-check risk estimate we provide. Macroaxis gives Altaba performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.7163 which signifies that as returns on market increase, returns on owning Altaba are expected to decrease at a much smaller rate. During bear market, Altaba is likely to outperform the market.. Even though it is essential to pay attention to Altaba historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards 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. Altaba exposes twenty-one different technical indicators which can help you to evaluate its performance. Altaba has expected return of -0.3705%. Please be advised to confirm Altaba Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Altaba past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 

Weak predictability

Altaba has weak predictability. Overlapping area represents the amount of predictability between Altaba time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 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 Altaba price movement. The serial correlation of 0.2 indicates that over 20.0% of current Altaba price fluctuation can be explain by its past prices.
Correlation Coefficient 0.2
Spearman Rank Test -0.24
Price Variance 0.82
Lagged Price Variance 3.37

Altaba lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Altaba regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Altaba Lagged Returns

 Regressed Prices 
      Timeline 

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Volatility Analysis

Get historical volatility and risk analysis based on latest market data
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Altaba and Diamond Hill Investment. 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 Altaba Hype Analysis, Altaba Correlation, Altaba Valuation, Altaba Volatility as well as analyze Altaba Alpha and Beta and Altaba Performance. Please also try Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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