Israel Index (Israel) Backtesting

NQIL -- Israel Index  

 1,063  5.55  0.52%

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

Israel Index 'What if' Analysis

August 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 12, 2019
0.00
If you would invest  0.00  in Israel Index on August 14, 2019 and sell it all today you would earn a total of 0.00 from holding Israel Index or generate 0.0% return on investment in Israel Index over 90 days.

Israel Index Upside/Downside Indicators

Downside Deviation0.6226
Information Ratio(0.007371)
Maximum Drawdown2.53
Value At Risk(0.35)
Potential Upside0.9019

Israel Index Market Premium Indicators

Risk Adjusted Performance0.1504
Total Risk Alpha0.0335
Sortino Ratio(0.005085)

Israel Index Backtested Returns

Israel Index holds Efficiency (Sharpe) Ratio of 0.1392 which attests that the entity had 0.1392% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-seven 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 0.1258% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.11) 
correlation synergy

Insignificant reverse predictability

Israel Index has insignificant reverse predictability. Overlapping area represents the amount of predictability between Israel Index time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 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 Israel Index price movement. The serial correlation of -0.11 indicates that less than 11.0% 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-0.11
Spearman Rank Test-0.1
Residual Average0.0
Price Variance50.37

Israel Index lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Israel Index regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Israel Index Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - NQIL

Israel Index Investor Sentiment

Macroaxis traders are unemotional in their take regarding direction of Israel Index Index. What is your judgment towards investing in Israel companies? Are you bullish or bearish on Israel Index?
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See also Israel Index Hype Analysis, Israel Index Correlation, Portfolio Optimization, Israel Index Volatility as well as analyze Israel Index Alpha and Beta and Israel Index Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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