Compugen Ltd (Israel) Backtesting

CGEN -- Israel Stock  

ILS 1,218  28.00  2.35%

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

Compugen Ltd 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
0.00
If you would invest  0.00  in Compugen Ltd on October 14, 2018 and sell it all today you would earn a total of 0.00 from holding Compugen Ltd or generate 0.0% return on investment in Compugen Ltd over 60 days. Compugen Ltd is related to or competes with Kamada Ltd, RedHill Biopharma, BioTime, Clal Biotechnology, Pluristem Therapeutics, and Evogene Ltd. Compugen Ltd., a therapeutic discovery company, engages in the research, development, and commercialization of therapeut...

Compugen Ltd Upside/Downside Indicators

Information Ratio(0.033801)
Maximum Drawdown15.94
Value At Risk(4.38)
Potential Upside3.52
  

Compugen Ltd Market Premium Indicators

Risk Adjusted Performance(0.12)
Jensen Alpha(0.34)
Total Risk Alpha0.0841
Treynor Ratio0.5988

Compugen Ltd Backtested Returns

Macroaxis considers Compugen Ltd to be not too risky. Compugen Ltd secures Sharpe Ratio (or Efficiency) of -0.0557 which signifies that Compugen Ltd had -0.0557% 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. Compugen Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Compugen Ltd Risk Adjusted Performance of (0.12) and Mean Deviation of 2.06 to double-check risk estimate we provide. Macroaxis gives Compugen Ltd performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.4406 which signifies that as returns on market increase, returns on owning Compugen Ltd are expected to decrease at a much smaller rate. During bear market, Compugen Ltd is likely to outperform the market.. Even though it is essential to pay attention to Compugen Ltd 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. Compugen Ltd exposes twenty-one different technical indicators which can help you to evaluate its performance. Compugen Ltd has expected return of -0.1847%. Please be advised to confirm Compugen Ltd Variance, Jensen Alpha and the relationship between Standard Deviation and Information Ratio to decide if Compugen Ltd past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 
correlation synergy

Modest reverse predictability

Compugen Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between Compugen Ltd 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 Compugen Ltd price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Compugen Ltd price fluctuation can be explain by its past prices. Given that Compugen Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Compugen Ltd for similar time interval.
Correlation Coefficient-0.41
Spearman Rank Test-0.32
Residual Average0.0
Price Variance1749.55

Compugen Ltd lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Compugen Ltd regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Compugen Ltd Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - CGEN

Compugen Ltd Investor Sentiment

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Compugen Ltd Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Compugen Ltd and Kamada Ltd. 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 Compugen Ltd Hype Analysis, Compugen Ltd Correlation, Compugen Ltd Valuation, Compugen Ltd Volatility as well as analyze Compugen Ltd Alpha and Beta and Compugen Ltd Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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