Altaba Backtesting

AABA -- USA Stock  

USD 61.98  1.05  1.72%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Altaba and determine expected loss or profit from investing in Altaba over given investment horizon. Check also Altaba Hype Analysis, Altaba Correlation, Altaba Valuation, Altaba Volatility as well as analyze Altaba Alpha and Beta and Altaba Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Altaba 'What if' Analysis

September 16, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 16, 2018
0.00
If you would invest  0.00  in Altaba on September 16, 2018 and sell it all today you would earn a total of 0.00 from holding Altaba or generate 0.0% return on investment in Altaba over 30 days. Altaba is related to or competes with Diamond Hill, AllianceBernstein, Bank of New York, Blackstone Group, Carlyle Group, Eaton Vance, and Jupai Holdings. Altaba Inc. operates as a non-diversified, closed-end management investment company in the United States

Altaba Upside/Downside Indicators

Information Ratio0.14
Maximum Drawdown9.8
Value At Risk2.96
Potential Upside3.42
  

Altaba Market Premium Indicators

Risk Adjusted Performance0.20
Jensen Alpha0.36
Total Risk Alpha0.13
Treynor Ratio0.68

Altaba Backtested Returns

Macroaxis considers Altaba to be not too volatile. Altaba secures Sharpe Ratio (or Efficiency) of -0.1522 which signifies that Altaba had -0.1522% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Altaba exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Altaba Risk Adjusted Performance of 0.20 and Mean Deviation of 1.73 to double-check risk estimate we provide. Macroaxis gives Altaba performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6867 which signifies that as returns on market increase, Altaba returns are expected to increase less than the market. However during bear market, the loss on holding Altaba will be expected to be smaller as well.. Even though it is essential to pay attention to Altaba historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Altaba exposes twenty-one different technical indicators which can help you to evaluate its performance. Altaba has expected return of -0.3478%. Please be advised to confirm Altaba Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Altaba past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 

Very good reverse predictability

Altaba has very good reverse predictability. Overlapping area represents the amount of predictability between Altaba time series from September 16, 2018 to October 1, 2018 and October 1, 2018 to October 16, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Altaba price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Altaba price fluctuation can be explain by its past prices. Given that Altaba has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Altaba for similar time interval.
Correlation Coefficient-0.61
Spearman Rank Test-0.43
Residual Average0.0
Price Variance8.5

Altaba lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Altaba regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Altaba Lagged Returns

 Regressed Prices 
      Timeline 

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Altaba Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Altaba and Diamond Hill Investment. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Altaba Hype Analysis, Altaba Correlation, Altaba Valuation, Altaba Volatility as well as analyze Altaba Alpha and Beta and Altaba Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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