Israel Index (Israel) Backtesting

NQIL -- Israel Index  

 1,142  9.20  0.80%

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. Check out 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.

Israel Index 'What if' Analysis

November 20, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 18, 2020
If you would invest  0.00  in Israel Index on November 20, 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 Deviation1.91
Information Ratio0.0099
Maximum Drawdown6.4
Value At Risk(1.53)
Potential Upside1.54

Israel Index Market Premium Indicators

Risk Adjusted Performance0.0722
Total Risk Alpha(0.018449)
Sortino Ratio0.0057

Israel Index Backtested Returns

Israel Index holds Efficiency (Sharpe) Ratio of 0.091 which attests that the entity had 0.091% 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-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 0.1097% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 
correlation synergy

Very weak predictability

Israel Index has very weak predictability. Overlapping area represents the amount of predictability between Israel Index time series from November 20, 2019 to January 4, 2020 and January 4, 2020 to February 18, 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 Israel Index price movement. The serial correlation of 0.17 indicates that over 17.0% of current Israel Index price fluctuation can be explain by its past prices.
Correlation Coefficient0.17
Spearman Rank Test-0.19
Residual Average0.0
Price Variance540.97

Israel Index lagged returns against current returns

 Current and Lagged Values 

Israel Index regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Israel Index Lagged Returns

 Regressed Prices 

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?
50% Bullish
50% Bearish

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Check out 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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.