Elbit Systems (Israel) Backtesting

ESLT -- Israel Stock  

ILS 50,990  440.00  0.86%

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

March 27, 2019
No Change 0.00  0.0%
In 2 months and 1 day
May 26, 2019
If you would invest  0.00  in Elbit Systems on March 27, 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 60 days. Elbit Systems is related to or competes with Orbit Technologies. 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 Deviation1.31
Maximum Drawdown6.58
Value At Risk(1.91)
Potential Upside3.19

Elbit Systems Market Premium Indicators

Risk Adjusted Performance0.01

Elbit Systems Backtested Returns

Macroaxis considers Elbit Systems very steady given 2 months investment horizon. Elbit Systems secures Sharpe Ratio (or Efficiency) of 0.1703 which denotes the organization had 0.1703% of return per unit of standard deviation over the last 2 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 technical indicators for Elbit Systems Ltd which you can use to evaluate future volatility of the firm. Please utilize Elbit Systems Mean Deviation of 1.1, Downside Deviation of 1.31 and Semi Deviation of 1.02 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Elbit Systems holds performance score of 11. The firm shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and Elbit Systems are completely uncorrelated. Although it is vital to follow to Elbit Systems historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending 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 technical indicators you can presently evaluate if the expected return of 0.2507% will be sustainable into the future. Please utilizes Elbit Systems Market Risk Adjusted Performance, Semi Deviation, Coefficient Of Variation, as well as the relationship between Mean Deviation and Downside Deviation to make a quick decision on weather Elbit Systems price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.16) 
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 March 27, 2019 to April 26, 2019 and April 26, 2019 to May 26, 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 price movement. The serial correlation of -0.16 indicates that over 16.0% 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-0.16
Spearman Rank Test0.0
Residual Average0.0
Price Variance560691.56

Elbit Systems 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 

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Pair Correlation

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Elbit Systems Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Elbit Systems and FMS Enterprises Migun. 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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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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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