Air Lease Backtesting

AL -- USA Stock  

USD 45.46  0.03  0.07%

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

Air Lease 'What if' Analysis

July 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 18, 2018
0.00
If you would invest  0.00  in Air Lease on July 19, 2018 and sell it all today you would earn a total of 0.00 from holding Air Lease Corporation or generate 0.0% return on investment in Air Lease over 30 days. Air Lease is related to or competes with S A P, Booking Holdings, Square, Worldpay Inc, Paychex, IHS Markit, and WIPRO LTD. Air Lease Corporation, an aircraft leasing company, engages in the purchase and leasing of commercial jet transport airc...

Air Lease Upside/Downside Indicators

Downside Deviation1.2
Information Ratio0.0891
Maximum Drawdown3.24
Value At Risk1.28
Potential Upside1.66
  

Air Lease Market Premium Indicators

Risk Adjusted Performance0.1109
Jensen Alpha0.091
Total Risk Alpha0.0019
Sortino Ratio0.0793
Treynor Ratio0.1874

Air Lease Backtested Returns

Macroaxis considers Air Lease not too risky given 1 month investment horizon. Air Lease secures Sharpe Ratio (or Efficiency) of 0.1892 which signifies that Air Lease had 0.1892% 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-one technical indicators for Air Lease Corporation which you can use to evaluate future volatility of the firm. Please makes use of Air Lease Downside Deviation of 1.2, Risk Adjusted Performance of 0.1109 and Mean Deviation of 0.8588 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Air Lease holds performance score of 12. The firm shows Beta (market volatility) of 1.0399 which signifies that Air Lease returns are very sensitive to returns on the market. as market goes up or down, Air Lease is expected to follow.. Although it is extremely important to respect Air Lease 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 Air Lease technical indicators you can presently evaluate if the expected return of 0.2019% will be sustainable into the future. Please makes use of Air Lease Value At Risk, and the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather Air Lease price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.54 

Modest predictability

Air Lease Corporation has modest predictability. Overlapping area represents the amount of predictability between Air Lease time series from July 19, 2018 to August 3, 2018 and August 3, 2018 to August 18, 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 Air Lease price movement. The serial correlation of 0.54 indicates that about 54.0% of current Air Lease price fluctuation can be explain by its past prices.
Correlation Coefficient 0.54
Spearman Rank Test 0.59
Price Variance 0.25
Lagged Price Variance 0.21

Air Lease lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Air Lease regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Air Lease Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Air Lease and SAP SE. 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 Air Lease Hype Analysis, Air Lease Correlation, Air Lease Valuation, Air Lease Volatility as well as analyze Air Lease Alpha and Beta and Air Lease Performance. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.