Altaba Backtesting

AABA -- USA Stock  

USD 81.11  1.65  2.08%

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

Altaba 'What if' Analysis

May 24, 2018
No Change 0.00  0.0%
In 31 days
June 23, 2018
If you would invest  0.00  in Altaba on May 24, 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 Digimarc, Dell Technologies, Violin Memory, Verint Systems, Ebix, Electronics for, and ECHELON CORP. Altaba Inc. operates as a non-diversified, closed-end management investment company in the United States

Altaba Upside/Downside Indicators

Downside Deviation1.18
Maximum Drawdown4.2
Value At Risk1.76
Potential Upside1.89

Altaba Market Premium Indicators

Risk Adjusted Performance0.01

Altaba Backtested Returns

We consider Altaba not too risky. Altaba secures Sharpe Ratio (or Efficiency) of 0.1299 which signifies that Altaba had 0.1299% of return per unit of risk over the last 1 month. Our philosophy towards 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 technical indicators for Altaba which you can use to evaluate future volatility of the firm. Please confirm Altaba Downside Deviation of 1.18, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.8293 to double-check if risk estimate we provide are consistent with the epected return of 0.1453%. Altaba has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Altaba are completely uncorrelated. Although it is extremely important to respect Altaba historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 Altaba technical indicators you can presently evaluate if the expected return of 0.1453% will be sustainable into the future. Altaba right now shows a risk of 1.1189%. Please confirm Altaba Treynor Ratio, Downside Variance, Kurtosis, as well as the relationship between Value At Risk and Expected Short fall to decide if Altaba will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 

Modest reverse predictability

Altaba has modest reverse predictability. Overlapping area represents the amount of predictability between Altaba time series from May 24, 2018 to June 8, 2018 and June 8, 2018 to June 23, 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 -0.45 indicates that just about 45.0% of current Altaba price fluctuation can be explain by its past prices. Given that Altaba has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Altaba for similar time interval.
Correlation Coefficient -0.45
Spearman Rank Test 0.18
Price Variance 0.72
Lagged Price Variance 2.27

Altaba lagged returns against current returns

 Current and Lagged Values 

Altaba regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Altaba Lagged Returns

 Regressed Prices 

Did you try this?

Run Portfolio Optimization Now

Portfolio Optimization

Compute new portfolio that will generate highest expected return given your specified tolerance for risk
All  Next Launch Portfolio Optimization

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Altaba and Digimarc. 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
Run Pair Correlation  
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.