Export Inv (Israel) Market Value
| EXPO Stock | ILA 4,499 1.00 0.02% |
| Symbol | Export |
Export Inv '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 Export Inv'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 Export Inv.
| 05/01/2023 |
| 04/25/2024 |
If you would invest 0.00 in Export Inv on May 1, 2023 and sell it all today you would earn a total of 0.00 from holding Export Inv or generate 0.0% return on investment in Export Inv over 360 days. Export Inv is related to or competes with Bezeq Israeli, and Elbit Systems. Ltd. operates as the holding company for Bank of Jerusalem that provides various commercial banking products and service... More
Export Inv 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 Export Inv'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 Export Inv upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.01 | |||
| Information Ratio | 0.0268 | |||
| Maximum Drawdown | 7.99 | |||
| Value At Risk | (2.97) | |||
| Potential Upside | 2.3 |
Export Inv Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Export Inv's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Export Inv's standard deviation. In reality, there are many statistical measures that can use Export Inv historical prices to predict the future Export Inv's volatility.| Risk Adjusted Performance | 0.0597 | |||
| Jensen Alpha | 0.1746 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0215 | |||
| Treynor Ratio | (0.24) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Export Inv'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.
Export Inv Backtested Returns
Export Inv appears to be very steady, given 3 months investment horizon. Export Inv secures Sharpe Ratio (or Efficiency) of 0.17, which denotes the company had a 0.17% return per unit of risk over the last 3 months. We have found thirty technical indicators for Export Inv, which you can use to evaluate the volatility of the firm. Please utilize Export Inv's Downside Deviation of 2.01, coefficient of variation of 1164.86, and Mean Deviation of 1.19 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Export Inv holds a performance score of 13. The firm shows a Beta (market volatility) of -0.54, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Export Inv are expected to decrease at a much lower rate. During the bear market, Export Inv is likely to outperform the market. Please check Export Inv's jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to make a quick decision on whether Export Inv's price patterns will revert.
Auto-correlation | 0.37 |
Below average predictability
Export Inv has below average predictability. Overlapping area represents the amount of predictability between Export Inv time series from 1st of May 2023 to 28th of October 2023 and 28th of October 2023 to 25th 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 Export Inv price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Export Inv price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 22.9 K |
Export Inv lagged returns against current returns
Autocorrelation, which is Export Inv 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 Export Inv's stock expected returns. We can calculate the autocorrelation of Export Inv returns to help us make a trade decision. For example, suppose you find that Export Inv 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 |
Export Inv 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 Export Inv stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Export Inv stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Export Inv stock over time.
Current vs Lagged Prices |
| Timeline |
Export Inv Lagged Returns
When evaluating Export Inv's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Export Inv stock have on its future price. Export Inv 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, Export Inv autocorrelation shows the relationship between Export Inv stock current value and its past values and can show if there is a momentum factor associated with investing in Export Inv.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Export Inv in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Export Inv's short interest history, or implied volatility extrapolated from Export Inv options trading.
Pair Trading with Export Inv
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 Export Inv 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 Export Inv will appreciate offsetting losses from the drop in the long position's value.Moving together with Export Stock
| 0.65 | AZRG | Azrieli Group | PairCorr |
Moving against Export Stock
| 0.55 | BEZQ | Bezeq Israeli Teleco | PairCorr |
| 0.45 | BCOM | B Communications | PairCorr |
The ability to find closely correlated positions to Export Inv could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Export Inv 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 Export Inv - 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 Export Inv to buy it.
The correlation of Export Inv 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 Export Inv moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Export Inv 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 Export Inv 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 Export Inv Correlation, Export Inv Volatility and Export Inv Alpha and Beta module to complement your research on Export Inv. 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 Export Stock analysis
When running Export Inv's price analysis, check to measure Export Inv'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 Export Inv is operating at the current time. Most of Export Inv's value examination focuses on studying past and present price action to predict the probability of Export Inv's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Export Inv's price. Additionally, you may evaluate how the addition of Export Inv to your portfolios can decrease your overall portfolio volatility.
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Export Inv 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.