Alaska Air (Germany) Market Value
| ALK Stock | 49.77 0.25 0.50% |
| Symbol | Alaska |
Alaska Air 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Alaska Air's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Alaska Air.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Alaska Air on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Alaska Air Group or generate 0.0% return on investment in Alaska Air over 30 days. Alaska Air is related to or competes with MHP Hotel, Solstad Offshore, Burlington Stores, BW OFFSHORE, and SIEM OFFSHORE. More
Alaska Air Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Alaska Air's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Alaska Air Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.55 | |||
| Information Ratio | 0.2426 | |||
| Maximum Drawdown | 11.41 | |||
| Value At Risk | (2.67) | |||
| Potential Upside | 3.88 |
Alaska Air Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alaska Air's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alaska Air's standard deviation. In reality, there are many statistical measures that can use Alaska Air historical prices to predict the future Alaska Air's volatility.| Risk Adjusted Performance | 0.2386 | |||
| Jensen Alpha | 0.7132 | |||
| Total Risk Alpha | 0.2988 | |||
| Sortino Ratio | 0.3531 | |||
| Treynor Ratio | (2.32) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alaska Air's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Alaska Air Group Backtested Returns
Alaska Air appears to be very steady, given 3 months investment horizon. Alaska Air Group secures Sharpe Ratio (or Efficiency) of 0.3, which signifies that the company had a 0.3% return per unit of standard deviation over the last 3 months. By analyzing Alaska Air's technical indicators, you can evaluate if the expected return of 0.67% is justified by implied risk. Please makes use of Alaska Air's risk adjusted performance of 0.2386, and Mean Deviation of 1.66 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Alaska Air holds a performance score of 23. The firm shows a Beta (market volatility) of -0.29, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Alaska Air are expected to decrease at a much lower rate. During the bear market, Alaska Air is likely to outperform the market. Please check Alaska Air's sortino ratio, semi variance, and the relationship between the information ratio and value at risk , to make a quick decision on whether Alaska Air's price patterns will revert.
Auto-correlation | -0.34 |
Poor reverse predictability
Alaska Air Group has poor reverse predictability. Overlapping area represents the amount of predictability between Alaska Air time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alaska Air Group price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Alaska Air price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.17 |
Alaska Air Group lagged returns against current returns
Autocorrelation, which is Alaska Air stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Alaska Air's stock expected returns. We can calculate the autocorrelation of Alaska Air returns to help us make a trade decision. For example, suppose you find that Alaska Air has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Alaska Air regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Alaska Air stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alaska Air stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alaska Air stock over time.
Current vs Lagged Prices |
| Timeline |
Alaska Air Lagged Returns
When evaluating Alaska Air's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alaska Air stock have on its future price. Alaska Air autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Alaska Air autocorrelation shows the relationship between Alaska Air stock current value and its past values and can show if there is a momentum factor associated with investing in Alaska Air Group.
Regressed Prices |
| Timeline |
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Additional Tools for Alaska Stock Analysis
When running Alaska Air's price analysis, check to measure Alaska Air's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Alaska Air is operating at the current time. Most of Alaska Air's value examination focuses on studying past and present price action to predict the probability of Alaska Air's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Alaska Air's price. Additionally, you may evaluate how the addition of Alaska Air to your portfolios can decrease your overall portfolio volatility.