Naphtha (Israel) Market Value
| NFTA Stock | ILS 1,945 75.00 4.01% |
| Symbol | Naphtha |
Naphtha '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 Naphtha'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 Naphtha.
| 05/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Naphtha on May 24, 2023 and sell it all today you would earn a total of 0.00 from holding Naphtha or generate 0.0% return on investment in Naphtha over 330 days. Naphtha is related to or competes with Fattal 1998, El Al, Bank Leumi, Teva Pharmaceutical, and Bezeq Israeli. Ltd. engages in the exploration, production, and sale of oil and gas in Israel and the United States More
Naphtha 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 Naphtha'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 Naphtha upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.31 | |||
| Information Ratio | 0.0058 | |||
| Maximum Drawdown | 14.98 | |||
| Value At Risk | (3.56) | |||
| Potential Upside | 3.4 |
Naphtha Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Naphtha's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Naphtha's standard deviation. In reality, there are many statistical measures that can use Naphtha historical prices to predict the future Naphtha's volatility.| Risk Adjusted Performance | 0.025 | |||
| Jensen Alpha | 0.0622 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | 0.0063 | |||
| Treynor Ratio | (1.27) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Naphtha'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.
Naphtha Backtested Returns
Naphtha appears to be very steady, given 3 months investment horizon. Naphtha has Sharpe Ratio of 0.0957, which conveys that the firm had a 0.0957% return per unit of risk over the last 3 months. We have found thirty technical indicators for Naphtha, which you can use to evaluate the volatility of the firm. Please exercise Naphtha's Risk Adjusted Performance of 0.025, downside deviation of 2.31, and Mean Deviation of 1.72 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Naphtha holds a performance score of 7. The company secures a Beta (Market Risk) of -0.0474, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Naphtha are expected to decrease at a much lower rate. During the bear market, Naphtha is likely to outperform the market. Please check Naphtha's treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Naphtha's current price movements will revert.
Auto-correlation | 0.15 |
Insignificant predictability
Naphtha has insignificant predictability. Overlapping area represents the amount of predictability between Naphtha time series from 24th of May 2023 to 5th of November 2023 and 5th of November 2023 to 18th of April 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 Naphtha price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Naphtha price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 12.4 K |
Naphtha lagged returns against current returns
Autocorrelation, which is Naphtha 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 Naphtha's stock expected returns. We can calculate the autocorrelation of Naphtha returns to help us make a trade decision. For example, suppose you find that Naphtha 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 price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Naphtha 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 Naphtha stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Naphtha stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Naphtha stock over time.
Current vs Lagged Prices |
| Timeline |
Naphtha Lagged Returns
When evaluating Naphtha's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Naphtha stock have on its future price. Naphtha 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, Naphtha autocorrelation shows the relationship between Naphtha stock current value and its past values and can show if there is a momentum factor associated with investing in Naphtha.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Naphtha in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Naphtha's short interest history, or implied volatility extrapolated from Naphtha options trading.
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Try AI Portfolio ArchitectCheck out Naphtha Correlation, Naphtha Volatility and Naphtha Alpha and Beta module to complement your research on Naphtha. You can also try the Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
Complementary Tools for Naphtha Stock analysis
When running Naphtha's price analysis, check to measure Naphtha'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 Naphtha is operating at the current time. Most of Naphtha's value examination focuses on studying past and present price action to predict the probability of Naphtha's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Naphtha's price. Additionally, you may evaluate how the addition of Naphtha to your portfolios can decrease your overall portfolio volatility.
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Naphtha technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.