Altaba Backtesting

AABA -- USA Stock  

USD 70.43  0.13  0.18%

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

Altaba 'What if' Analysis

June 21, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 19, 2019
If you would invest  0.00  in Altaba on June 21, 2019 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 90 days. Altaba is related to or competes with Brookfield Asset, State Street, 3I Group, Blackstone Group, T Rowe, and Northern Trust. Altaba Inc. operates as a non-diversified, closed-end management investment company in the United States

Altaba Upside/Downside Indicators

Downside Deviation0.4101
Information Ratio(0.002041)
Maximum Drawdown3.17
Value At Risk(0.65)
Potential Upside0.7166

Altaba Market Premium Indicators

Risk Adjusted Performance0.0633
Jensen Alpha0.0235
Total Risk Alpha0.0127
Sortino Ratio(0.002391)
Treynor Ratio0.166

Altaba Backtested Returns

We consider Altaba very steady. Altaba secures Sharpe Ratio (or Efficiency) of 0.0786 which signifies that the organization had 0.0786% of return per unit of risk over the last 3 months. Our philosophy towards 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 Altaba which you can use to evaluate future volatility of the firm. Please confirm Altaba Risk Adjusted Performance of 0.0633, Mean Deviation of 0.3178 and Downside Deviation of 0.4101 to double-check if risk estimate we provide are consistent with the epected return of 0.0364%. Altaba has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1723 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. Although it is extremely important to respect Altaba historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Altaba technical indicators you can presently evaluate if the expected return of 0.0364% will be sustainable into the future. Altaba right now shows a risk of 0.4632%. Please confirm Altaba Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Altaba will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.15 
correlation synergy

Insignificant predictability

Altaba has insignificant predictability. Overlapping area represents the amount of predictability between Altaba time series from June 21, 2019 to August 5, 2019 and August 5, 2019 to September 19, 2019. 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 0.15 indicates that less than 15.0% of current Altaba price fluctuation can be explain by its past prices.
Correlation Coefficient0.15
Spearman Rank Test-0.09
Residual Average0.0
Price Variance0.06

Altaba lagged returns against current returns

 Current and Lagged Values 

Altaba regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Altaba Lagged Returns

 Regressed Prices 

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Altaba Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Altaba and Brookfield Asset Man. 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.