Mehadrin (Israel) Market Value
MEDN Stock | ILA 15,320 20.00 0.13% |
Symbol | Mehadrin |
Mehadrin '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 Mehadrin'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 Mehadrin.
03/29/2022 |
| 03/18/2024 |
If you would invest 0.00 in Mehadrin on March 29, 2022 and sell it all today you would earn a total of 0.00 from holding Mehadrin or generate 0.0% return on investment in Mehadrin over 720 days. Mehadrin is related to or competes with Amot Investments, Multi Retail, Libra Insurance, Analyst IMS, Isras Investment, and Harel Insurance. Mehadrin Ltd. grows and markets citrus, fruits, and vegetables primarily under JAFFA brand name in Israel More
Mehadrin 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 Mehadrin'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 Mehadrin upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.49 | |||
Information Ratio | 0.0795 | |||
Maximum Drawdown | 10.06 | |||
Value At Risk | (2.24) | |||
Potential Upside | 5.38 |
Mehadrin Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mehadrin's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mehadrin's standard deviation. In reality, there are many statistical measures that can use Mehadrin historical prices to predict the future Mehadrin's volatility.Risk Adjusted Performance | 0.1003 | |||
Jensen Alpha | 0.2952 | |||
Total Risk Alpha | (0.14) | |||
Sortino Ratio | 0.1109 | |||
Treynor Ratio | 16.9 |
Sophisticated investors, who have witnessed many market ups and downs, frequently view the market will even out over time. This tendency of Mehadrin'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. Please use the tools below to analyze the current value of Mehadrin in the context of predictive analytics.
Mehadrin Backtested Returns
Mehadrin appears to be very steady, given 3 months investment horizon. Mehadrin has Sharpe Ratio of 0.1, which conveys that the firm had 0.1% return per unit of risk over the last 3 months. Our standpoint towards estimating the 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-nine technical indicators for Mehadrin, which you can use to evaluate the future volatility of the firm. Please exercise Mehadrin's Risk Adjusted Performance of 0.1003, downside deviation of 1.49, and Mean Deviation of 1.41 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Mehadrin holds a performance score of 7. The company secures a Beta (Market Risk) of 0.0176, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mehadrin returns are expected to increase less than the market. However, during the bear market, the loss on holding Mehadrin will be expected to be smaller as well. Although it is important to respect Mehadrin price patterns, it is better to be realistic regarding the information on the equity's historical price patterns. Please exercises Mehadrin jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha to make a quick decision on whether Mehadrin current price movements will revert.
Auto-correlation | -0.6 |
Good reverse predictability
Mehadrin has good reverse predictability. Overlapping area represents the amount of predictability between Mehadrin time series from 29th of March 2022 to 24th of March 2023 and 24th of March 2023 to 18th of March 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 Mehadrin price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Mehadrin price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.6 | |
Spearman Rank Test | -0.62 | |
Residual Average | 0.0 | |
Price Variance | 2.7 M |
Mehadrin lagged returns against current returns
Autocorrelation, which is Mehadrin 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 Mehadrin's stock expected returns. We can calculate the autocorrelation of Mehadrin returns to help us make a trade decision. For example, suppose you find that Mehadrin stock 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 stock movement to match the lagging time series.
Current and Lagged Values |
Timeline |
Mehadrin 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 Mehadrin stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mehadrin stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mehadrin stock over time.
Current vs Lagged Prices |
Timeline |
Mehadrin Lagged Returns
When evaluating Mehadrin's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mehadrin stock have on its future price. Mehadrin 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, Mehadrin autocorrelation shows the relationship between Mehadrin stock current value and its past values and can show if there is a momentum factor associated with investing in Mehadrin.
Regressed Prices |
Timeline |
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Try AI Portfolio ArchitectCheck out Mehadrin Correlation, Mehadrin Volatility and Mehadrin Alpha and Beta module to complement your research on Mehadrin. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Mehadrin Stock analysis
When running Mehadrin's price analysis, check to measure Mehadrin'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 Mehadrin is operating at the current time. Most of Mehadrin's value examination focuses on studying past and present price action to predict the probability of Mehadrin's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mehadrin's price. Additionally, you may evaluate how the addition of Mehadrin to your portfolios can decrease your overall portfolio volatility.
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