Africa Israel (Israel) Backtesting

AFRE -- Israel Stock  

ILS 5,768  12.00  0.21%

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

Africa Israel 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
December 13, 2018
0.00
If you would invest  0.00  in Africa Israel on October 14, 2018 and sell it all today you would earn a total of 0.00 from holding Africa Israel Residences Ltd or generate 0.0% return on investment in Africa Israel over 60 days. Africa Israel is related to or competes with Bayside Land, Brack Capital, Summit Real, Ashtrom Group, Sella Capital, Israel Land, and Africa Israel. Africa Israel Residences Ltd builds and sells apartments under the Savyonim brand in Israel

Africa Israel Upside/Downside Indicators

Information Ratio0.0285
Maximum Drawdown5.55
Value At Risk(2.39)
Potential Upside1.72
  

Africa Israel Market Premium Indicators

Risk Adjusted Performance(0.16)
Jensen Alpha(0.12)
Total Risk Alpha(0.003329)
Treynor Ratio(1.46)

Africa Israel Residences Backtested Returns

Macroaxis considers Africa Israel to be not too risky. Africa Israel Residences secures Sharpe Ratio (or Efficiency) of -0.1237 which signifies that Africa Israel Residences had -0.1237% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Africa Israel Residences Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Africa Israel Residences Risk Adjusted Performance of (0.16) and Mean Deviation of 0.7349 to double-check risk estimate we provide. Macroaxis gives Africa Israel performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0923 which signifies that as returns on market increase, Africa Israel returns are expected to increase less than the market. However during bear market, the loss on holding Africa Israel will be expected to be smaller as well.. Even though it is essential to pay attention to Africa Israel Residences historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Africa Israel Residences Ltd exposes twenty-one different technical indicators which can help you to evaluate its performance. Africa Israel Residences has expected return of -0.1413%. Please be advised to confirm Africa Israel Residences Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Africa Israel Residences past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.34) 
correlation synergy

Poor reverse predictability

Africa Israel Residences Ltd has poor reverse predictability. Overlapping area represents the amount of predictability between Africa Israel time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 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 Africa Israel Residences price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Africa Israel price fluctuation can be explain by its past prices. Given that Africa Israel Residences Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Africa Israel for similar time interval.
Correlation Coefficient-0.34
Spearman Rank Test0.02
Residual Average0.0
Price Variance14370.89

Africa Israel Residences lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Africa Israel regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Africa Israel Lagged Returns

 Regressed Prices 
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Current Sentiment - AFRE

Africa Israel Residences Investor Sentiment

Macroaxis portfolio users are unresponsive in their sentiment towards investing in Africa Israel Residences Ltd. What is your sentiment towards investing in Africa Israel Residences Ltd? Are you bullish or bearish?
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Africa Israel Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Africa Israel and Bayside Land. 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  
Check also Africa Israel Hype Analysis, Africa Israel Correlation, Africa Israel Valuation, Africa Israel Volatility as well as analyze Africa Israel Alpha and Beta and Africa Israel Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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