American Airlines Risk Analysis And Volatility Evaluation

AAL -- USA Stock  

USD 33.57  3.37  9.12%

Macroaxis considers American Airlines not too volatile given 2 months investment horizon. American Airlines secures Sharpe Ratio (or Efficiency) of 0.0686 which signifies that American Airlines had 0.0686% of return per unit of standard deviation over the last 2 months. Our philosophy in 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 American Airlines Group which you can use to evaluate future volatility of the firm. Please makes use of American Airlines Mean Deviation of 2.57 and Risk Adjusted Performance of (0.06) to double-check if our risk estimates are consistent with your expectations.
Interest Expense
Horizon     30 Days    Login   to change

American Airlines Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, American Airlines will likely underperform.
2 Months Beta |Analyze American Airlines Demand Trend
Check current 30 days American Airlines correlation with market (DOW)
β = 1.5143

American Airlines Central Daily Price Deviation

American Airlines Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. American Airlines 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.

American Airlines Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.5143 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, American Airlines will likely underperform. Moreover, American Airlines Group has an alpha of 0.1044 implying that it can potentially generate 0.1044% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of American Airlines is 1458.75. The daily returns are destributed with a variance of 11.03 and standard deviation of 3.32. The mean deviation of American Airlines Group is currently at 2.32. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.10
β
Beta against DOW=1.51
σ
Overall volatility
=3.32
Ir
Information ratio =0.003

American Airlines Return Volatility

American Airlines Group has volatility of 3.3214% on return distribution over 30 days investment horizon. DOW inherits 1.3055% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

American Airlines Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

About average

60 Days Economic Sensitivity

Responds to market

Investment Outlook

American Airlines Investment Opportunity

American Airlines Group has a volatility of 3.32 and is 2.53 times more volatile than DOW. 30% 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 30 (%) of all global equities and portfolios over the last 30 days. Use American Airlines Group to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of American Airlines to be traded at $31.89 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, American Airlines will likely underperform.

American Airlines correlation with market

correlation synergy
Poor 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.

American Airlines Volatility Indicators

American Airlines Group Current Risk Indicators

Check also Trending Equities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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