Isrotel Ltd (Israel) Backtesting

ISRO -- Israel Stock  

ILS 5,541  3.00  0.05%

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

Isrotel Ltd 'What if' Analysis

January 20, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
March 21, 2019
0.00
If you would invest  0.00  in Isrotel Ltd on January 20, 2019 and sell it all today you would earn a total of 0.00 from holding Isrotel Ltd or generate 0.0% return on investment in Isrotel Ltd over 60 days. It operates 16 hotels that consist of approximately 3,300 suites and rooms with various facilities comprising restaurant...

Isrotel Ltd Upside/Downside Indicators

Downside Deviation2.09
Information Ratio(0.039745)
Maximum Drawdown10.31
Value At Risk(3.19)
Potential Upside3.68
  

Isrotel Ltd Market Premium Indicators

Risk Adjusted Performance0.0294
Jensen Alpha0.0505
Total Risk Alpha(0.48)
Sortino Ratio(0.043921)
Treynor Ratio0.6603

Isrotel Ltd Backtested Returns

Macroaxis considers Isrotel Ltd not too risky given 2 months investment horizon. Isrotel Ltd holds Efficiency (Sharpe) Ratio of 0.1907 which attests that the entity had 0.1907% 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. By evaluating Isrotel Ltd technical indicators you can presently evaluate if the expected return of 0.5164% is justified by implied risk. Please utilize Isrotel Ltd Downside Deviation of 2.09, Risk Adjusted Performance of 0.0294 and Market Risk Adjusted Performance of 0.6703 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Isrotel Ltd holds performance score of 12. The company retains Market Volatility (i.e. Beta) of 0.1005 which attests that as returns on market increase, Isrotel Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Isrotel Ltd will be expected to be smaller as well. Although it is vital to follow to Isrotel Ltd current price history, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-one technical indicators for Isrotel Ltd which you can use to evaluate performance of the corporation. Please utilizes Isrotel Ltd Information Ratio, Treynor Ratio, Value At Risk, as well as the relationship between Jensen Alpha and Maximum Drawdown to make a quick decision on weather Isrotel Ltd current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 
correlation synergy

Good predictability

Isrotel Ltd has good predictability. Overlapping area represents the amount of predictability between Isrotel Ltd time series from January 20, 2019 to February 19, 2019 and February 19, 2019 to March 21, 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 Isrotel Ltd price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current Isrotel Ltd price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.21
Residual Average0.0
Price Variance3588.61

Isrotel Ltd lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Isrotel Ltd regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Isrotel Ltd Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Isrotel Ltd Hype Analysis, Isrotel Ltd Correlation, Isrotel Ltd Valuation, Isrotel Ltd Volatility as well as analyze Isrotel Ltd Alpha and Beta and Isrotel Ltd Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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