Macroaxis considers American Airlines not too risky given 1 month investment horizon. American Airlines Group secures Sharpe Ratio (or Efficiency) of 0.3025 which signifies that American Airlines Group had 0.3025% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing American Airlines Group technical indicators you can presently evaluate if the expected return of 0.5397% is justified by implied risk. Please makes use of American Airlines Group Mean Deviation of 1.23 and Risk Adjusted Performance of 0.0905 to double-check if our risk estimates are consistent with your expectations.
|Investment 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 TrendCheck current 30 days American Airlines correlation with market (DOW)|
β = 0.8002
Projected Return Density Against MarketConsidering 30-days investment horizon, American Airlines has beta of 0.8002 . 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 Inc will be expected to be much smaller as well. Moreover, American Airlines Group Inc has an alpha of 0.3829 implying that it can potentially generate 0.3829% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of American Airlines is 330.54. The daily returns are destributed with a variance of 3.18 and standard deviation of 1.78. The mean deviation of American Airlines Group Inc is currently at 1.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27