Delta Backtesting

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DAL -- USA Stock  


With this equity back-testing module your can estimate the performance of a buy and hold strategy of Delta Air Lines and determine expected loss or profit from investing in Delta Air over given investment horizon. Continue to Delta Air Hype Analysis, Delta Air Correlation, Delta Air Valuation, Delta Air Volatility as well as analyze Delta Air Alpha and Beta and Delta Air Performance.

Delta Air 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Delta Air on April 5, 2020 and sell it all today you would earn a total of 0.00 from holding Delta Air Lines or generate 0.0% return on investment in Delta Air over 90 days. Delta Air is related to or competes with China Eastern, American Airlines, Alaska Air, Hawaiian Holdings, Gol Linhas, and Copa Holdings. Delta Air Lines, Inc. provides scheduled air transportation for passengers and cargo in the United States and internatio...

Delta Air Upside/Downside Indicators

Downside Deviation5.36
Information Ratio(0.022357)
Maximum Drawdown27.95
Value At Risk(7.70)
Potential Upside12.24

Delta Air Market Premium Indicators

Risk Adjusted Performance0.0545
Jensen Alpha(0.36)
Total Risk Alpha(0.61)
Sortino Ratio(0.025263)
Treynor Ratio0.0682

Delta Air Lines Backtested Returns

Delta Air appears to be not too volatile, given 3 months investment horizon. Delta Air Lines secures Sharpe Ratio (or Efficiency) of 0.0868, which denotes the company had 0.0868% of return per unit of risk over the last 3 months. Our standpoint towards predicting the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By reviewing Delta Air Lines technical indicators you can presently evaluate if the expected return of 0.5% is justified by implied risk. Please utilize Delta Air Lines coefficient of variation of 4446.57, mean deviation of 4.51, and downside deviation of 5.36 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Delta Air holds a performance score of 5. The firm shows a Beta (market volatility) of 1.8489, which means somewhat significant risk relative to the market. Let's try to break down what Delta's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Delta Air will likely underperform. Although it is vital to follow to Delta Air Lines historical returns, it is good to be conservative about what you can do with the information regarding equity current trending patterns. The philosophy towards predicting 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. We have found twenty-eight technical indicators for Delta Air Lines, which you can use to evaluate the performance of the firm. Please utilizes Delta Air Lines jensen alpha, potential upside, accumulation distribution, as well as the relationship between the treynor ratio and expected short fall to make a quick decision on whether Delta Air price patterns will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.01) 
correlation synergy

Very weak reverse predictability

Delta Air Lines has very weak reverse predictability. Overlapping area represents the amount of predictability between Delta Air time series from 5th of April 2020 to 20th of May 2020 and 20th of May 2020 to 4th of July 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Delta Air Lines price movement. The serial correlation of -0.01 indicates that just 1.0% of current Delta Air price fluctuation can be explain by its past prices. Given that Delta Air Lines has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Delta Air for similar time interval.
Correlation Coefficient-0.01
Spearman Rank Test-0.5
Residual Average0.0
Price Variance10.45

Delta Air Lines lagged returns against current returns

 Current and Lagged Values 

Delta Air regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Delta Air Lagged Returns

 Regressed Prices 

Current Sentiment - DAL

Delta Air Lines Investor Sentiment

Predominant part of Macroaxis users are currently bullish on Delta Air Lines. What is your opinion about investing in Delta Air Lines? Are you bullish or bearish?
98% Bullish
2% Bearish

Delta Air Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Delta Air and China Eastern Airlines. 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
Run Pair Correlation  
Continue to Delta Air Hype Analysis, Delta Air Correlation, Delta Air Valuation, Delta Air Volatility as well as analyze Delta Air Alpha and Beta and Delta Air Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page