Compugen Ltd (Israel) Backtesting

CGEN -- Israel Stock  

null 1,273  25.00  2.00%

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

Compugen Ltd 'What if' Analysis

May 18, 2019
No Change 0.00  0.0%
In 2 months and 1 day
July 17, 2019
If you would invest  0.00  in Compugen Ltd on May 18, 2019 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, BioLine Rx, and Evogene Ltd. Compugen Ltd., a therapeutic discovery company, engages in the research, development, and commercialization of therapeut...

Compugen Ltd Upside/Downside Indicators

Downside Deviation2.7
Information Ratio(0.034571)
Maximum Drawdown16.85
Value At Risk(4.88)
Potential Upside4.83

Compugen Ltd Market Premium Indicators

Risk Adjusted Performance0.0175
Jensen Alpha(0.043752)
Total Risk Alpha(0.59)
Sortino Ratio(0.038062)
Treynor Ratio0.0601

Compugen Ltd Backtested Returns

We consider Compugen Ltd very steady. Compugen Ltd secures Sharpe Ratio (or Efficiency) of 0.0282 which signifies that the organization had 0.0282% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing 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 Compugen Ltd which you can use to evaluate future volatility of the firm. Please confirm Compugen Ltd Downside Deviation of 2.7, Risk Adjusted Performance of 0.0175 and Mean Deviation of 2.03 to double-check if risk estimate we provide are consistent with the epected return of 0.1021%. Compugen Ltd has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5691 which signifies that as returns on market increase, Compugen Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Compugen Ltd will be expected to be smaller as well. Although it is extremely important to respect Compugen Ltd historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 Compugen Ltd technical indicators you can presently evaluate if the expected return of 0.1021% will be sustainable into the future. Compugen Ltd right now shows a risk of 3.6174%. Please confirm Compugen Ltd Variance, Jensen Alpha and the relationship between Standard Deviation and Information Ratio to decide if Compugen Ltd will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.85) 
correlation synergy

Excellent reverse predictability

Compugen Ltd has excellent reverse predictability. Overlapping area represents the amount of predictability between Compugen Ltd time series from May 18, 2019 to June 17, 2019 and June 17, 2019 to July 17, 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 Compugen Ltd price movement. The serial correlation of -0.85 indicates that around 85.0% 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-0.85
Spearman Rank Test-0.08
Residual Average0.0
Price Variance3138.24

Compugen Ltd lagged returns against current returns

 Current and Lagged Values 

Compugen Ltd regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Compugen Ltd Lagged Returns

 Regressed Prices 

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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
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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.