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Theme Landscape

Investment horizon:

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This theme covers domestic and international airlines and airline services in USA. To change this theme or its current investment horizon please use the panel above and then hit the 'Optimize This Theme' button to continue

Risk and return landscape for Airlines

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Hypothetical Portfolio

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Daily Expected Return (%)

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Risk [Daily Volatility] (%)

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Assets rated by market efficiency

		Efficiency (Sharpe Ratio)	Risk (Volatility)	Expected Return	Current Price	Advice *
LCC	US Airways Group Inc	0.50%	1.75%	0.88%	18.59	Strong Buy
DAL	Delta Air Lines Inc	0.31%	3.07%	0.97%	18.36	Strong Buy
TAM	TAM SA	0.31%	2.32%	0.72%	17.58	Buy
LUV	Southwest Airlines Co	0.30%	1.26%	0.38%	14.25	Strong Buy
CPA	Copa Holdings SA	0.26%	2.25%	0.59%	134.96	Strong Buy
ALGT	Allegiant Travel Company	0.06%	1.17%	0.08%	93.42	Strong Buy
BLTA	Baltia Air Lines Inc	0.03%	23.84%	0.79%	0.02	Strong Hold
SKYW	SkyWest Inc	0.03%	2.13%	0.07%	14.18	Buy
ALK	Alaska Air Group Inc	0.01%	2.73%	0.05%	59.73	Buy
HA	Hawaiian Holdings Inc	0.01%	2.11%	0.01%	5.50	Buy
ZNH	China Southern Airlines Co Ltd	0.02%	2.06%	0.03%	26.23	Strong Buy
RJET	Republic Airways Holdings Inc	0.07%	3.15%	0.22%	10.55	Strong Hold
CEA	China Eastern Airlines Corp Ltd	0.20%	1.87%	0.37%	19.30	Strong Hold
GLUX	Great Lakes Aviation Ltd	0.21%	3.70%	0.75%	1.42	Strong Sell
JBLU	JetBlue Airways Corporation	0.26%	1.91%	0.48%	6.36	Strong Hold
LFL	LATAM Airlines Group SA	0.56%	0.88%	0.48%	19.19	Strong Hold

* Advice is based on 30 days investment horizon and default level of risk. Use Portfolio Analizer to fine-tune all your assumptions. Check your current assumptions here

Total return distribution analysis

Predicted Return Density

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Returns

Market

Portfolio

Alpha (Return Over Market)

(0.41)

Beta (Market Sensitivity)

2.17

Efficiency (Sharpe Ratio)

0.20

Risk (Volatility)

1.22

Expected Return

0.26

Technical analysis of total daily returns

Risk Adjusted Performance	0.0433
Market Risk Adjusted Performance	0.0642
Mean Deviation	1.45
Semi-Deviation	1.36
Downside Deviation	1.55
Coefficient Of Variation	1532.98
Standard Deviation	1.96
Variance	3.83
Information Ratio	(0.09)
Jensen Alpha	(0.53)
Total Risk Alpha	(0.94)
Sortino Ratio	(0.12)
Treynor Ratio	0.0542
Maximum Drawdown	6.39
Value At Risk	(2.06)

Airlines Correlation Analysis

	RJET	DAL	HA	CEA	JBLU	TAM	ALK	LFL	LCC	ALGT	ZNH	LUV	SKYW	CPA
RJET		0.51	0.25	0.12	0.48	0.03	0.58	0.2	0.52	0.66	0.38	0.65	0.66	0.25
DAL	0.51		0.52	-0.37	0.47	0.06	0.46	0.36	0.77	0.54	-0.15	0.62	0.28	0.51
HA	0.25	0.52		-0.2	0.39	0.06	0.26	0.1	0.18	0.27	-0.06	0.3	0.22	0.09
CEA	0.12	-0.37	-0.2		-0.11	0.37	-0.06	0.29	-0.43	-0.2	0.72	-0.01	0.1	-0.18
JBLU	0.48	0.47	0.39	-0.11		0.17	0.47	0.4	0.46	0.58	0.2	0.45	0.64	0.1
TAM	0.03	0.06	0.06	0.37	0.17		0.34	0.37	0.04	0.09	0.31	0.08	0.1	-0.05
ALK	0.58	0.46	0.26	-0.06	0.47	0.34		0.28	0.4	0.64	0.15	0.67	0.42	0.16
LFL	0.2	0.36	0.1	0.29	0.4	0.37	0.28		0.15	0.22	0.16	0.31	-0.02	0.26
LCC	0.52	0.77	0.18	-0.43	0.46	0.04	0.4	0.15		0.69	-0.13	0.46	0.16	0.46
ALGT	0.66	0.54	0.27	-0.2	0.58	0.09	0.64	0.22	0.69		0.22	0.74	0.36	0.26
ZNH	0.38	-0.15	-0.06	0.72	0.2	0.31	0.15	0.16	-0.13	0.22		0.32	0.32	-0.24
LUV	0.65	0.62	0.3	-0.01	0.45	0.08	0.67	0.31	0.46	0.74	0.32		0.4	0.39
SKYW	0.66	0.28	0.22	0.1	0.64	0.1	0.42	-0.02	0.16	0.36	0.32	0.4		-0.05
CPA	0.25	0.51	0.09	-0.18	0.1	-0.05	0.16	0.26	0.46	0.26	-0.24	0.39	-0.05

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Correlation Matchups

High positive correlations

LCC	+ 0.77	DAL
LUV	+ 0.74	ALGT
ZNH	+ 0.72	CEA
ALGT	+ 0.69	LCC
LUV	+ 0.67	ALK
ALGT	+ 0.66	RJET
SKYW	+ 0.66	RJET
LUV	+ 0.65	RJET

Insignificant Correlation

LUV	- 0.01	CEA
SKYW	- 0.02	LFL
CPA	- 0.05	TAM
CPA	- 0.05	SKYW

TAM	+ 0.03	RJET
LCC	+ 0.04	TAM
TAM	+ 0.06	HA
TAM	+ 0.06	DAL

High negative correlations

LCC	- 0.43	CEA
CEA	- 0.37	DAL
CPA	- 0.24	ZNH
ALGT	- 0.2	CEA
CEA	- 0.2	HA
CPA	- 0.18	CEA
ZNH	- 0.15	DAL
ZNH	- 0.13	LCC

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
GLUX	2.24	(0.74)	(0.14)	10.91	9.07	(0.28)	(3.78)	2.52	(9.94)	16.60	Backtest
RJET	2.30	(1.35)	(0.15)	(0.06)	3.48	(0.16)	(2.17)	2.51	(4.40)	13.25	Backtest
DAL	2.30	(0.08)	0.28	0.28	1.60	0.21	(2.86)	3.89	(1.75)	15.58	Backtest
HA	1.39	(0.50)	(0.12)	(0.01)	2.77	(0.15)	(1.31)	2.43	(1.95)	11.09	Backtest
CEA	1.62	(0.47)	(0.33)	(1.21)	2.14	(0.35)	(1.72)	2.48	(3.38)	6.62	Backtest
JBLU	1.54	(0.82)	(0.32)	(0.44)	2.85	(0.40)	(1.36)	1.92	(3.92)	6.44	Backtest
TAM	2.00	0.83	0.30	2.48	1.21	0.24	(2.52)	7.40	(4.30)	5.11	Backtest
BLTA	14.06	(3.50)	0.01	0.05	16.14	0.02	(50.00)	50.00	(33.33)	83.33	Backtest
ALK	1.90	(0.80)	(0.07)	0.01	3.26	(0.09)	(1.86)	3.34	(3.10)	8.43	Backtest
LFL	0.71	(0.60)	(0.63)	(1.46)	1.69	(0.88)	(0.46)	0.78	(1.69)	2.96	Backtest
LCC	1.41	0.47	0.43	0.64	0.36	0.32	(1.91)	3.92	(1.78)	6.80	Backtest
ALGT	0.92	(0.31)	(0.16)	0.05	1.24	(0.19)	(0.95)	1.59	(1.92)	3.10	Backtest
ZNH	1.57	(0.32)	(0.14)	(0.05)	2.51	(0.16)	(1.47)	2.42	(3.45)	7.67	Backtest
LUV	1.05	(0.17)	0.06	0.21	0.86	0.06	(1.29)	2.25	(1.61)	3.97	Backtest
SKYW	1.61	(0.37)	(0.08)	0.04	2.86	(0.11)	(1.37)	2.90	(2.95)	9.63	Backtest
CPA	1.62	0.08	0.17	0.35	1.10	0.12	(2.04)	2.66	(2.44)	8.97	Backtest

Theme Landscape

Risk and return landscape for Airlines

Assets rated by market efficiency

Total return distribution analysis

Technical analysis of total daily returns

Airlines Correlation Analysis

Correlation Matchups

High positive correlations

Insignificant Correlation

High negative correlations

Weakest Diversification

Strongest Diversification

Weakest Diversification

Assets performance indicators

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