ELBIT SYSTEMS (Israel) Backtesting

ESLT -- Israel Stock  

ILS 57,000  250.00  0.44%

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

ELBIT SYSTEMS 'What if' Analysis

September 7, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 6, 2019
If you would invest  0.00  in ELBIT SYSTEMS on September 7, 2019 and sell it all today you would earn a total of 0.00 from holding ELBIT SYSTEMS LTD or generate 0.0% return on investment in ELBIT SYSTEMS over 90 days. ELBIT SYSTEMS is related to or competes with ASHOT ASHKELON. Elbit Systems Ltd. develops and supplies a range of airborne, land, and naval systems and products for defense, homeland...

ELBIT SYSTEMS Upside/Downside Indicators

Downside Deviation2.26
Information Ratio(0.006344)
Maximum Drawdown10.16
Value At Risk(3.30)
Potential Upside2.88

ELBIT SYSTEMS Market Premium Indicators

Risk Adjusted Performance0.0269
Jensen Alpha0.0484
Total Risk Alpha(0.14)
Sortino Ratio(0.00515)
Treynor Ratio1.07

ELBIT SYSTEMS LTD Backtested Returns

We consider ELBIT SYSTEMS very steady. ELBIT SYSTEMS LTD retains Efficiency (Sharpe Ratio) of 0.0769 which denotes the organization had 0.0769% of return per unit of risk over the last 3 months. Our philosophy in predicting 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-seven technical indicators for ELBIT SYSTEMS which you can use to evaluate future volatility of the firm. Please confirm ELBIT SYSTEMS LTD Downside Deviation of 2.26, Market Risk Adjusted Performance of 1.08 and Coefficient Of Variation of 2988.92 to check if risk estimate we provide are consistent with the epected return of 0.0949%. ELBIT SYSTEMS has performance score of 5 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 0.0481 which denotes to the fact that as returns on market increase, ELBIT SYSTEMS returns are expected to increase less than the market. However during bear market, the loss on holding ELBIT SYSTEMS will be expected to be smaller as well. Although it is extremely important to respect ELBIT SYSTEMS LTD existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy in 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. By reviewing ELBIT SYSTEMS LTD technical indicators you can right now evaluate if the expected return of 0.0949% will be sustainable into the future. ELBIT SYSTEMS LTD at this time owns a risk of 1.2329%. Please confirm ELBIT SYSTEMS LTD Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation to decide if ELBIT SYSTEMS LTD will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.11) 
correlation synergy

Insignificant reverse predictability

ELBIT SYSTEMS LTD has insignificant reverse predictability. Overlapping area represents the amount of predictability between ELBIT SYSTEMS time series from September 7, 2019 to October 22, 2019 and October 22, 2019 to December 6, 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 ELBIT SYSTEMS LTD price movement. The serial correlation of -0.11 indicates that less than 11.0% of current ELBIT SYSTEMS price fluctuation can be explain by its past prices. Given that ELBIT SYSTEMS LTD has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ELBIT SYSTEMS for similar time interval.
Correlation Coefficient-0.11
Spearman Rank Test-0.33
Residual Average0.0
Price Variance625831.29

ELBIT SYSTEMS LTD lagged returns against current returns

 Current and Lagged Values 

ELBIT SYSTEMS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ELBIT SYSTEMS Lagged Returns

 Regressed Prices 

Current Sentiment - ESLT

ELBIT SYSTEMS LTD Investor Sentiment

Macroaxis portfolio users are insensible in their opinion about investing in ELBIT SYSTEMS LTD. What is your opinion about investing in ELBIT SYSTEMS LTD? Are you bullish or bearish?
50% Bullish
50% Bearish

ELBIT SYSTEMS Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for ELBIT SYSTEMS and ASHOT ASHKELON. 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 ELBIT SYSTEMS Hype Analysis, ELBIT SYSTEMS Correlation, ELBIT SYSTEMS Valuation, ELBIT SYSTEMS Volatility as well as analyze ELBIT SYSTEMS Alpha and Beta and ELBIT SYSTEMS Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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