holds Efficiency (Sharpe) Ratio of 0.0617 which attests that Israel Index
had 0.0617% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for Israel Index which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Israel Index are completely uncorrelated. Although it is extremely important to respect Israel Index
current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators
. By evaluating Israel Index technical indicators
you can presently evaluate if the expected return of 0.0448% will be sustainable into the future.
|15 days auto-correlation||(0.18) |
Insignificant reverse predictability
Israel Index has insignificant reverse predictability. Overlapping area represents the amount of predictability between Israel Index time series from May 25, 2018 to June 9, 2018 and June 9, 2018 to June 24, 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 Israel Index price movement. The serial correlation of -0.18 indicates that over 18.0% of current Israel Index price fluctuation can be explain by its past prices. Given that Israel Index has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Israel Index for similar time interval.
|Correlation Coefficient|| -0.18|
|Spearman Rank Test|| 0.02|
|Price Variance|| 73.11|
|Lagged Price Variance|| 26.35|