Compugen (Israel) Market Value
| CGEN Stock | ILA 736.20 10.20 1.40% |
| Symbol | Compugen |
Compugen 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Compugen's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Compugen.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Compugen on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Compugen or generate 0.0% return on investment in Compugen over 30 days. Compugen is related to or competes with Purple Biotech, BioLine RX, Clal Biotechnology, and Evogene. Compugen Ltd., a clinical-stage therapeutic discovery and development company, engages in the research, development, and... More
Compugen Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Compugen's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Compugen upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.73 | |||
| Information Ratio | 0.0596 | |||
| Maximum Drawdown | 29.36 | |||
| Value At Risk | (8.62) | |||
| Potential Upside | 11.56 |
Compugen Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Compugen's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Compugen's standard deviation. In reality, there are many statistical measures that can use Compugen historical prices to predict the future Compugen's volatility.| Risk Adjusted Performance | 0.0547 | |||
| Jensen Alpha | 0.2677 | |||
| Total Risk Alpha | (0.34) | |||
| Sortino Ratio | 0.0774 | |||
| Treynor Ratio | 0.1986 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Compugen's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Compugen Backtested Returns
Compugen appears to be very steady, given 3 months investment horizon. Compugen secures Sharpe Ratio (or Efficiency) of 0.0405, which signifies that the company had a 0.0405% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Compugen, which you can use to evaluate the volatility of the firm. Please makes use of Compugen's Mean Deviation of 4.58, risk adjusted performance of 0.0547, and Downside Deviation of 4.73 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Compugen holds a performance score of 3. The firm shows a Beta (market volatility) of 2.24, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Compugen will likely underperform. Please check Compugen's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Compugen's price patterns will revert.
Auto-correlation | 0.55 |
Modest predictability
Compugen has modest predictability. Overlapping area represents the amount of predictability between Compugen time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 2024. 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 price movement. The serial correlation of 0.55 indicates that about 55.0% of current Compugen price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 3333.2 |
Compugen lagged returns against current returns
Autocorrelation, which is Compugen stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Compugen's stock expected returns. We can calculate the autocorrelation of Compugen returns to help us make a trade decision. For example, suppose you find that Compugen has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Compugen regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Compugen stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Compugen stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Compugen stock over time.
Current vs Lagged Prices |
| Timeline |
Compugen Lagged Returns
When evaluating Compugen's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Compugen stock have on its future price. Compugen autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Compugen autocorrelation shows the relationship between Compugen stock current value and its past values and can show if there is a momentum factor associated with investing in Compugen.
Regressed Prices |
| Timeline |
Pair Trading with Compugen
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Compugen position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Compugen will appreciate offsetting losses from the drop in the long position's value.Moving against Compugen Stock
| 0.78 | ARAD | Arad Investment Indu | PairCorr |
| 0.56 | ISRS | Isras Investment | PairCorr |
| 0.41 | BLRX | BioLine RX | PairCorr |
The ability to find closely correlated positions to Compugen could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Compugen when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Compugen - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Compugen to buy it.
The correlation of Compugen is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Compugen moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Compugen moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Compugen can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Compugen Correlation, Compugen Volatility and Compugen Alpha and Beta module to complement your research on Compugen. For information on how to trade Compugen Stock refer to our How to Trade Compugen Stock guide.You can also try the Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
Complementary Tools for Compugen Stock analysis
When running Compugen's price analysis, check to measure Compugen's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Compugen is operating at the current time. Most of Compugen's value examination focuses on studying past and present price action to predict the probability of Compugen's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Compugen's price. Additionally, you may evaluate how the addition of Compugen to your portfolios can decrease your overall portfolio volatility.
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Compugen technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.