American Airlines Risk Analysis And Volatility Evaluation

AAL -- USA Stock  

USD 37.95  0.42  1.09%

Macroaxis considers American Airlines to be not too volatile. American Airlines Group secures Sharpe Ratio (or Efficiency) of -0.1395 which signifies that American Airlines Group had -0.1395% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in 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. American Airlines Group exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm American Airlines Group Mean Deviation of 1.64 and Risk Adjusted Performance of 0.10 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

American Airlines Market Sensitivity

As returns on market increase, American Airlines returns are expected to increase less than the market. However during bear market, the loss on holding American Airlines will be expected to be smaller as well.
One Month Beta |Analyze American Airlines Group Demand Trend
Check current 30 days American Airlines correlation with market (DOW)
β = 0.417
American Airlines Small BetaAmerican Airlines Group Beta Legend

American Airlines Group Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. American Airlines Group Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, American Airlines has beta of 0.417 . This suggests as returns on market go up, American Airlines average returns are expected to increase less than the benchmark. However during bear market, the loss on holding American Airlines Group will be expected to be much smaller as well. Additionally, American Airlines Group has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of American Airlines is -716.97. The daily returns are destributed with a variance of 5.58 and standard deviation of 2.36. The mean deviation of American Airlines Group is currently at 1.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.48
β
Beta against DOW=0.42
σ
Overall volatility
=2.36
Ir
Information ratio =0.23

Actual Return Volatility

American Airlines Group has volatility of 2.3623% on return distribution over 30 days investment horizon. DOW inherits 0.5886% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

American Airlines Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

American Airlines Investment Opportunity
American Airlines Group has a volatility of 2.36 and is 4.0 times more volatile than DOW. 21% of all equities and portfolios are less risky than American Airlines. Compared to the overall equity markets, volatility of historical daily returns of American Airlines Group is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use American Airlines Group to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of American Airlines to be traded at $36.81 in 30 days. As returns on market increase, American Airlines returns are expected to increase less than the market. However during bear market, the loss on holding American Airlines will be expected to be smaller as well.

American Airlines correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding American Airlines Group Inc and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.