Menora Mivtachim (Israel) Backtesting

MMHD -- Israel Stock  

ILS 4,576  23.00  0.51%

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
SymbolX
Backtest

Menora Mivtachim 'What if' Analysis

February 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2019
0.00
If you would invest  0.00  in Menora Mivtachim on February 22, 2019 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 Holdings Ltd operates in insurance and finance sectors in Israel

Menora Mivtachim Upside/Downside Indicators

Downside Deviation1.59
Information Ratio0.028
Maximum Drawdown10.3
Value At Risk(2.23)
Potential Upside4.03

Menora Mivtachim Market Premium Indicators

Risk Adjusted Performance0.0673
Jensen Alpha0.1212
Total Risk Alpha(0.17)
Sortino Ratio0.0325
Treynor Ratio0.423

Menora Mivtachim Hol Backtested Returns

Macroaxis considers Menora Mivtachim to be very steady. Menora Mivtachim Hol has Sharpe Ratio of -0.0281 which conveys that the firm had -0.0281% of return per unit of risk over the last 2 months. Macroaxis philosophy towards estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Menora Mivtachim exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Menora Mivtachim Holdings Ltd Risk Adjusted Performance of 0.0673, Downside Deviation of 1.59 and Mean Deviation of 1.2 to check out risk estimate we provide. The company secures Beta (Market Risk) of 0.3925 which conveys that as returns on market increase, Menora Mivtachim returns are expected to increase less than the market. However during bear market, the loss on holding Menora Mivtachim will be expected to be smaller as well. Even though it is essential to pay attention to Menora Mivtachim Hol price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Menora Mivtachim exposes twenty-one different technical indicators which can help you to evaluate its performance. Menora Mivtachim Hol has expected return of -0.0545%. Please be advised to verify Menora Mivtachim Holdings Ltd Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Menora Mivtachim Hol past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 
correlation synergy

Very good reverse predictability

Menora Mivtachim Holdings Ltd has very good reverse predictability. Overlapping area represents the amount of predictability between Menora Mivtachim time series from February 22, 2019 to March 24, 2019 and March 24, 2019 to April 23, 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 Menora Mivtachim Hol price movement. The serial correlation of -0.62 indicates that roughly 62.0% 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-0.62
Spearman Rank Test-0.25
Residual Average0.0
Price Variance8577.27

Menora Mivtachim Hol lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Menora Mivtachim regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Menora Mivtachim Lagged Returns

 Regressed Prices 
      Timeline 

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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 Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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