Menora Mivtachim (Israel) Backtesting

MMHD -- Israel Stock  

ILS 4,428  40.00  0.90%

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

Menora Mivtachim 'What if' Analysis

October 15, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
If you would invest  0.00  in Menora Mivtachim on October 15, 2018 and sell it all today you would earn a total of 0.00 from holding Menora Mivtachim Holdings Ltd or generate 0.0% return on investment in Menora Mivtachim over 60 days. Menora Mivtachim is related to or competes with Delek Group, Harel Insurance, Phoenix Holdings, Migdal Insurance, and . Menora Mivtachim Holdings Ltd operates in insurance and finance sectors in Israel

Menora Mivtachim Upside/Downside Indicators

Downside Deviation1.73
Information Ratio0.0648
Maximum Drawdown10.74
Value At Risk(2.19)
Potential Upside3.99

Menora Mivtachim Market Premium Indicators

Risk Adjusted Performance0.0656
Jensen Alpha0.0882
Total Risk Alpha0.1649
Sortino Ratio0.0785
Treynor Ratio(1.00)

Menora Mivtachim Hol Backtested Returns

We consider Menora Mivtachim not too risky. Menora Mivtachim Hol has Sharpe Ratio of 0.073 which conveys that Menora Mivtachim Hol had 0.073% of return per unit of risk over the last 2 months. Our philosophy towards estimating 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 Menora Mivtachim which you can use to evaluate future volatility of the firm. Please verify Menora Mivtachim Holdings Ltd Downside Deviation of 1.73, Mean Deviation of 1.36 and Risk Adjusted Performance of 0.0656 to check out if risk estimate we provide are consistent with the epected return of 0.1685%. Menora Mivtachim has performance score of 4 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.0923 which conveys that as returns on market increase, returns on owning Menora Mivtachim are expected to decrease at a much smaller rate. During bear market, Menora Mivtachim is likely to outperform the market.. Although it is extremely important to respect Menora Mivtachim Hol price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 analyzing Menora Mivtachim Hol technical indicators you can presently evaluate if the expected return of 0.1685% will be sustainable into the future. Menora Mivtachim Hol right now secures a risk of 2.3069%. Please verify Menora Mivtachim Holdings Ltd Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Menora Mivtachim Holdings Ltd will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 
correlation synergy

Modest reverse predictability

Menora Mivtachim Holdings Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between Menora Mivtachim time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 Menora Mivtachim Hol price movement. The serial correlation of -0.41 indicates that just about 41.0% of current Menora Mivtachim price fluctuation can be explain by its past prices. Given that Menora Mivtachim Holdings Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Menora Mivtachim for similar time interval.
Correlation Coefficient-0.41
Spearman Rank Test-0.53
Residual Average0.0
Price Variance62394.92

Menora Mivtachim Hol lagged returns against current returns

 Current and Lagged Values 

Menora Mivtachim regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Menora Mivtachim Lagged Returns

 Regressed Prices 

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Please see also Menora Mivtachim Hype Analysis, Menora Mivtachim Correlation, Menora Mivtachim Valuation, Menora Mivtachim Volatility as well as analyze Menora Mivtachim Alpha and Beta and Menora Mivtachim Performance. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.