Direct Capital (Israel) Backtesting

DCI-M -- Israel Stock  

null 160.50  5.50  3.55%

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

Direct Capital 'What if' Analysis

September 23, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 23, 2018
0.00
If you would invest  0.00  in Direct Capital on September 23, 2018 and sell it all today you would earn a total of 0.00 from holding Direct Capital Investments Ltd or generate 0.0% return on investment in Direct Capital over 30 days. Direct Capital is related to or competes with Israel Chemicals, NICE Ltd, and Elbit Systems. Direct Capital Investment Ltd. does not have significant operations

Direct Capital Upside/Downside Indicators

Information Ratio0.1214
Maximum Drawdown13.53
Value At Risk4.97
Potential Upside5.47
  

Direct Capital Market Premium Indicators

Risk Adjusted Performance0.0786
Jensen Alpha0.3448
Total Risk Alpha0.656
Treynor Ratio0.2032

Direct Capital Inves Backtested Returns

Macroaxis considers Direct Capital not too risky given 1 month investment horizon. Direct Capital Inves secures Sharpe Ratio (or Efficiency) of 0.1565 which denotes Direct Capital Inves had 0.1565% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By reviewing Direct Capital Inves technical indicators you can presently evaluate if the expected return of 0.5147% is justified by implied risk. Please utilize Direct Capital Inves Coefficient Of Variation of 1506.26 and Mean Deviation of 1.83 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Direct Capital holds performance score of 10. The firm shows Beta (market volatility) of 0.917 which denotes to the fact that Direct Capital returns are very sensitive to returns on the market. as market goes up or down, Direct Capital is expected to follow.. Although it is vital to follow to Direct Capital Inves historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards predicting 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 Direct Capital Investments Ltd which you can use to evaluate performance of the firm. Please utilizes Direct Capital Inves Value At Risk, Expected Short fall and the relationship between Treynor Ratio and Downside Variance to make a quick decision on weather Direct Capital price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 

Good predictability

Direct Capital Investments Ltd has good predictability. Overlapping area represents the amount of predictability between Direct Capital time series from September 23, 2018 to October 8, 2018 and October 8, 2018 to October 23, 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 Direct Capital Inves price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Direct Capital price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.09
Residual Average0.0
Price Variance41.55

Direct Capital Inves lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Direct Capital regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Direct Capital Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - DCI-M

Direct Capital Inves Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in Direct Capital Investments Ltd. What is your opinion about investing in Direct Capital Investments Ltd? Are you bullish or bearish?
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Direct Capital Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Direct Capital 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  
Additionally see Direct Capital Hype Analysis, Direct Capital Correlation, Direct Capital Valuation, Direct Capital Volatility as well as analyze Direct Capital Alpha and Beta and Direct Capital Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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