Hamat Group (Israel) Backtesting

HAMAT -- Israel Stock  

ILS 1,057  8.00  0.75%

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

Hamat Group 'What if' Analysis

October 16, 2018
No Change 0.00  0.0%
In 2 months and 1 day
December 15, 2018
If you would invest  0.00  in Hamat Group on October 16, 2018 and sell it all today you would earn a total of 0.00 from holding Hamat Group Ltd or generate 0.0% return on investment in Hamat Group over 60 days. Hamat Group Ltd. manufactures, markets, and exports bathroom and kitchen products in Israel and internationally

Hamat Group Upside/Downside Indicators

Information Ratio0.0212
Maximum Drawdown8.6
Value At Risk(3.67)
Potential Upside2.46

Hamat Group Market Premium Indicators

Risk Adjusted Performance(0.047968)
Jensen Alpha(0.09)
Total Risk Alpha0.0786
Treynor Ratio0.7425

Hamat Group Ltd Backtested Returns

We consider Hamat Group not too risky. Hamat Group Ltd holds Efficiency (Sharpe) Ratio of 0.0661 which attests that Hamat Group Ltd had 0.0661% of return per unit of risk over the last 2 months. Our philosophy towards determining 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-one technical indicators for Hamat Group Ltd which you can use to evaluate future volatility of the corporation. Please check out Hamat Group Market Risk Adjusted Performance of 0.7525 and Risk Adjusted Performance of (0.047968) to validate if risk estimate we provide are consistent with the epected return of 0.122%. Hamat Group has performance score of 4 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.1061 which attests that as returns on market increase, returns on owning Hamat Group are expected to decrease at a much smaller rate. During bear market, Hamat Group is likely to outperform the market.. Although it is extremely important to respect Hamat Group Ltd current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Hamat Group Ltd technical indicators you can presently evaluate if the expected return of 0.122% will be sustainable into the future. Hamat Group Ltd right now retains a risk of 1.8453%. Please check out Hamat Group Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Hamat Group will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.38 
correlation synergy

Below average predictability

Hamat Group Ltd has below average predictability. Overlapping area represents the amount of predictability between Hamat Group time series from October 16, 2018 to November 15, 2018 and November 15, 2018 to December 15, 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 Hamat Group Ltd price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Hamat Group price fluctuation can be explain by its past prices.
Correlation Coefficient0.38
Spearman Rank Test0.67
Residual Average0.0
Price Variance745.92

Hamat Group Ltd lagged returns against current returns

 Current and Lagged Values 

Hamat Group regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Hamat Group Lagged Returns

 Regressed Prices 

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Please also check Hamat Group Hype Analysis, Hamat Group Correlation, Hamat Group Valuation, Hamat Group Volatility as well as analyze Hamat Group Alpha and Beta and Hamat Group Performance. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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