Altaba Backtesting

AABA -- USA Stock  

USD 62.57  0.19  0.30%

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.
Horizon     30 Days    Login   to change

Altaba 'What if' Analysis

October 15, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
If you would invest  0.00  in Altaba on October 15, 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 60 days. Altaba is related to or competes with BlackRock, Brookfield Asset, Investor, Investor, State Street, CaixaBank, and T Rowe. Altaba Inc. operates as a non-diversified, closed-end management investment company in the United States

Altaba Upside/Downside Indicators

Downside Deviation2.28
Information Ratio0.07
Maximum Drawdown8.97
Value At Risk(3.42)
Potential Upside3.42

Altaba Market Premium Indicators

Risk Adjusted Performance0.0752
Jensen Alpha0.1802
Total Risk Alpha0.2048
Sortino Ratio0.073
Treynor Ratio0.093

Altaba Backtested Returns

We consider Altaba not too volatile. Altaba secures Sharpe Ratio (or Efficiency) of 0.0414 which signifies that Altaba had 0.0414% of return per unit of risk over the last 2 months. Our philosophy towards 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-one technical indicators for Altaba which you can use to evaluate future volatility of the firm. Please confirm Altaba Downside Deviation of 2.28, Risk Adjusted Performance of 0.0752 and Mean Deviation of 2.04 to double-check if risk estimate we provide are consistent with the epected return of 0.0977%. Altaba has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.3165 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Altaba will likely underperform.. 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 0.0977% will be sustainable into the future. Altaba right now shows a risk of 2.3603%. Please confirm Altaba Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Altaba will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.34) 
correlation synergy

Poor reverse predictability

Altaba has poor reverse predictability. Overlapping area represents the amount of predictability between Altaba time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 -0.34 indicates that nearly 34.0% 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-0.34
Spearman Rank Test-0.15
Residual Average0.0
Price Variance2.02

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 

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Altaba Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Altaba and BlackRock. 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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.