Air Lease Backtesting

Air Lease Corporation -- USA Stock  

USD 43.68  0.46  1.04%

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
Investment Horizon     30 Days    Login   to change
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Backtest

Air Lease 'What if' Analysis

September 24, 2017
0.00
No Change 0.00  0.0%
In 31 days
October 24, 2017
0.00
If you would invest  0.00  in Air Lease on September 24, 2017 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 Genpact Limited, Quintiles IMS, Visa, Zillow, and . Air Lease Corporation also sells aircraft from its operating lease portfolio to third parties including other leasing co...

Air Lease Upside/Downside Indicators

  

Air Lease Market Premium Indicators

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 Backtested Returns

Macroaxis considers Air Lease not too risky given 1 month investment horizon. Air Lease secures Sharpe Ratio (or Efficiency) of 0.2582 which signifies that Air Lease had 0.2582% 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-eight 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 0.8525, Risk Adjusted Performance of 0.0868 and Mean Deviation of 0.8731 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 16. The firm shows Beta (market volatility) of 1.1356 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 vital to follow to Air Lease historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patternss. 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 0.3185% will be sustainable into the future. Please makes use of Air Lease Semi Variance, Rate Of Daily Change and the relationship between Value At Risk and Kurtosis to make a quick decision on weather Air Lease price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.19 

Very weak predictability

Air Lease Corporation has very weak predictability. Overlapping area represents the amount of predictability between Air Lease time series from September 24, 2017 to October 9, 2017 and October 9, 2017 to October 24, 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 Air Lease price movement. The serial correlation of 0.19 indicates that over 19.0% of current Air Lease price fluctuation can be explain by its past prices.
Correlation Coefficient 0.19
Spearman Rank Test -0.07
Price Variance 0.25
Lagged Price Variance 1.27

Air Lease Lagged Returns

 Regressed Prices 
      Timeline 

Air Lease Performance vs DOW

The median price of Air Lease for the period between Sun, Sep 24, 2017 and Tue, Oct 24, 2017 is 43.29 with a coefficient of variation of 2.93. The daily time series for the period is distributed with a sample standard deviation of 1.26, arithmetic mean of 42.92, and mean deviation of 1.05. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Air Lease Corporation Class A Moves Higher on Volume Spike f...10/20/2017