Mordechai Aviv (Israel) Backtesting

AVIV -- Israel Stock  

ILS 1,127  1.00  0.09%

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

Mordechai Aviv 'What if' Analysis

September 17, 2018
No Change 0.00  0.0%
In 30 days
October 17, 2018
If you would invest  0.00  in Mordechai Aviv on September 17, 2018 and sell it all today you would earn a total of 0.00 from holding Mordechai Aviv Taasiot Beniyah Ltd or generate 0.0% return on investment in Mordechai Aviv over 30 days. Mordechai Aviv is related to or competes with Bezeq Israel, Oil Refineries, Perrigo Company, Bank Leumi, Israel Chemicals, NICE Ltd, and Azrieli Group. Mordechai Aviv Taasiot Beniyah Ltd. operates as a real estate company in Israel and internationally

Mordechai Aviv Upside/Downside Indicators

Information Ratio0.035415
Maximum Drawdown8.58
Value At Risk2.34
Potential Upside2.97

Mordechai Aviv Market Premium Indicators

Risk Adjusted Performance0.07
Jensen Alpha0.13
Total Risk Alpha0.023973
Treynor Ratio0.7525

Mordechai Aviv Taasiot Backtested Returns

We consider Mordechai Aviv not too risky. Mordechai Aviv Taasiot has Sharpe Ratio of 0.0115 which conveys that Mordechai Aviv Taasiot had 0.0115% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Mordechai Aviv which you can use to evaluate future volatility of the firm. Please verify Mordechai Aviv Taasiot Beniyah Ltd Mean Deviation of 0.9657 and Risk Adjusted Performance of 0.07 to check out if risk estimate we provide are consistent with the epected return of 0.0212%. Mordechai Aviv has performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.1642 which conveys that as returns on market increase, returns on owning Mordechai Aviv are expected to decrease at a much smaller rate. During bear market, Mordechai Aviv is likely to outperform the market.. Although it is extremely important to respect Mordechai Aviv Taasiot price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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. By analyzing Mordechai Aviv Taasiot technical indicators you can presently evaluate if the expected return of 0.0212% will be sustainable into the future. Mordechai Aviv Taasiot right now secures a risk of 1.8504%. Please verify Mordechai Aviv Taasiot Beniyah Ltd Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Mordechai Aviv Taasiot Beniyah Ltd will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.94) 

Near perfect reversele predictability

Mordechai Aviv Taasiot Beniyah Ltd has near perfect reversele predictability. Overlapping area represents the amount of predictability between Mordechai Aviv time series from September 17, 2018 to October 2, 2018 and October 2, 2018 to October 17, 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 Mordechai Aviv Taasiot price movement. The serial correlation of -0.94 indicates that approximately 94.0% of current Mordechai Aviv price fluctuation can be explain by its past prices. Given that Mordechai Aviv Taasiot Beniyah Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Mordechai Aviv for similar time interval.
Correlation Coefficient-0.94
Spearman Rank Test-0.88
Residual Average0.0
Price Variance993.28

Mordechai Aviv Taasiot lagged returns against current returns

 Current and Lagged Values 

Mordechai Aviv regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Mordechai Aviv Lagged Returns

 Regressed Prices 

Current Sentiment - AVIV

Mordechai Aviv Taasiot Investor Sentiment

Macroaxis portfolio users are unresponsive in their sentiment towards investing in Mordechai Aviv Taasiot Beniyah Ltd. What is your trading attitude regarding investing in Mordechai Aviv Taasiot Beniyah Ltd? Are you bullish or bearish?
50% Bullish
50% Bearish

Mordechai Aviv Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Mordechai Aviv 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 Mordechai Aviv Hype Analysis, Mordechai Aviv Correlation, Mordechai Aviv Valuation, Mordechai Aviv Volatility as well as analyze Mordechai Aviv Alpha and Beta and Mordechai Aviv Performance. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.