Salomon A (Israel) Backtesting

ANGL -- Israel Stock  

ILS 3,270  128.00  4.07%

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

Salomon A 'What if' Analysis

September 20, 2018
No Change 0.00  0.0%
In 31 days
October 20, 2018
If you would invest  0.00  in Salomon A on September 20, 2018 and sell it all today you would earn a total of 0.00 from holding Salomon A Angel Ltd or generate 0.0% return on investment in Salomon A over 30 days. Salomon A is related to or competes with Bezeq Israel, Oil Refineries, Perrigo Company, Bank Leumi, Israel Chemicals, NICE Ltd, and Azrieli Group. The company produces and markets sliced breads, whole wheat and multi-grain breads, challahs, pita breads, artisan bread...

Salomon A Upside/Downside Indicators

Downside Deviation1.71
Information Ratio0.2582
Maximum Drawdown6.08
Value At Risk2.51
Potential Upside4.07

Salomon A Market Premium Indicators

Risk Adjusted Performance0.1921
Jensen Alpha0.3417
Total Risk Alpha0.6201
Sortino Ratio0.2864
Treynor Ratio2.33

Salomon A Angel Backtested Returns

Macroaxis considers Salomon A not too risky given 1 month investment horizon. Salomon A Angel owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2593 which indicates Salomon A Angel had 0.2593% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By inspecting Salomon A Angel technical indicators you can presently evaluate if the expected return of 0.5033% is justified by implied risk. Please operate Salomon A Semi Deviation of 1.01, Coefficient Of Variation of 579.36 and Risk Adjusted Performance of 0.1921 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Salomon A holds performance score of 17. The entity has beta of 0.1363 which indicates as returns on market increase, Salomon A returns are expected to increase less than the market. However during bear market, the loss on holding Salomon A will be expected to be smaller as well.. Although it is vital to follow to Salomon A Angel current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-one technical indicators for Salomon A Angel Ltd which you can use to evaluate performance of the company. Please operates Salomon A Variance, Jensen Alpha and the relationship between Standard Deviation and Information Ratio to make a quick decision on weather Salomon A Angel existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 

Very weak reverse predictability

Salomon A Angel Ltd has very weak reverse predictability. Overlapping area represents the amount of predictability between Salomon A time series from September 20, 2018 to October 5, 2018 and October 5, 2018 to October 20, 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 Salomon A Angel price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Salomon A price fluctuation can be explain by its past prices. Given that Salomon A Angel Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Salomon A for similar time interval.
Correlation Coefficient-0.09
Spearman Rank Test-0.14
Residual Average0.0
Price Variance8867.55

Salomon A Angel lagged returns against current returns

 Current and Lagged Values 

Salomon A regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Salomon A Lagged Returns

 Regressed Prices 

Current Sentiment - ANGL

Salomon A Angel Investor Sentiment

Macroaxis portfolio users are unresponsive in their sentiment towards investing in Salomon A Angel Ltd. What is your outlook on investing in Salomon A Angel Ltd? Are you bullish or bearish?
50% Bullish
50% Bearish

Salomon A Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Salomon A and Bezeq The Israel. 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 Salomon A Hype Analysis, Salomon A Correlation, Salomon A Valuation, Salomon A Volatility as well as analyze Salomon A Alpha and Beta and Salomon A Performance. Please also try Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.