Mordechai Aviv (Israel) Backtesting

AVIV -- Israel Stock  

ILS 1,269  30.00  2.31%

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

January 20, 2019
No Change 0.00  0.0%
In 2 months and 2 days
March 21, 2019
If you would invest  0.00  in Mordechai Aviv on January 20, 2019 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 60 days. Mordechai Aviv is related to or competes with Electra Ltd, Shikun Binui, and Lewinsky Ofer. Mordechai Aviv Taasiot Beniyah Ltd. operates as a real estate company in Israel and internationally

Mordechai Aviv Upside/Downside Indicators

Downside Deviation2.45
Information Ratio0.1481
Maximum Drawdown8.02
Value At Risk(2.90)
Potential Upside4.66

Mordechai Aviv Market Premium Indicators

Risk Adjusted Performance0.1542
Jensen Alpha0.4717
Total Risk Alpha(0.04976)
Sortino Ratio0.145
Treynor Ratio1.94

Mordechai Aviv Taasiot Backtested Returns

Macroaxis considers Mordechai Aviv not too risky given 2 months investment horizon. Mordechai Aviv Taasiot has Sharpe Ratio of 0.3782 which conveys that the firm had 0.3782% of return per unit of risk over the last 2 months. 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. By analyzing Mordechai Aviv Taasiot technical indicators you can presently evaluate if the expected return of 0.8195% is justified by implied risk. Please exercise Mordechai Aviv Taasiot Beniyah Ltd Downside Deviation of 2.45, Mean Deviation of 1.73 and Risk Adjusted Performance of 0.1542 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Mordechai Aviv holds performance score of 25. The company secures Beta (Market Risk) of 0.2648 which conveys that as returns on market increase, Mordechai Aviv returns are expected to increase less than the market. However during bear market, the loss on holding Mordechai Aviv will be expected to be smaller as well. Although it is vital to follow to Mordechai Aviv Taasiot price patterns, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-one technical indicators for Mordechai Aviv which you can use to evaluate performance of the firm. Please exercises Mordechai Aviv Taasiot Beniyah Ltd Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to make a quick decision on weather Mordechai Aviv Taasiot current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.29 
correlation synergy

Poor predictability

Mordechai Aviv Taasiot Beniyah Ltd has poor predictability. Overlapping area represents the amount of predictability between Mordechai Aviv time series from January 20, 2019 to February 19, 2019 and February 19, 2019 to March 21, 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 Mordechai Aviv Taasiot price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Mordechai Aviv price fluctuation can be explain by its past prices.
Correlation Coefficient0.29
Spearman Rank Test0.64
Residual Average0.0
Price Variance7754.8

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 

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Mordechai Aviv Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Mordechai Aviv and Shapir Engineering and. 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
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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 Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.