NICE Ltd (Israel) Backtesting

NICE -- Israel Stock  

ILS 42,820  750.00  1.78%

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

NICE Ltd 'What if' Analysis

October 13, 2018
No Change 0.00  0.0%
In 2 months and 1 day
December 12, 2018
If you would invest  0.00  in NICE Ltd on October 13, 2018 and sell it all today you would earn a total of 0.00 from holding NICE Ltd or generate 0.0% return on investment in NICE Ltd over 60 days. NICE Ltd is related to or competes with WhiteSmoke Software. It operates in two segments, Customer Engagement and Financial Crime and Compliance

NICE Ltd Upside/Downside Indicators

Downside Deviation2.02
Information Ratio0.1251
Maximum Drawdown7.15
Value At Risk(2.90)
Potential Upside2.64

NICE Ltd Market Premium Indicators

Risk Adjusted Performance0.0558
Jensen Alpha0.034
Total Risk Alpha0.2762
Sortino Ratio0.1116
Treynor Ratio(0.38)

NICE Ltd Backtested Returns

Macroaxis considers NICE Ltd not too risky given 2 months investment horizon. NICE Ltd retains Efficiency (Sharpe Ratio) of 0.2241 which conveys that NICE Ltd had 0.2241% 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-eight technical indicators for NICE Ltd which you can use to evaluate future volatility of the firm. Please exercise NICE Ltd Semi Deviation of 1.77, Market Risk Adjusted Performance of (0.37) and Mean Deviation of 1.39 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 NICE Ltd holds performance score of 14. The company owns Beta (Systematic Risk) of -0.1554 which conveys that as returns on market increase, returns on owning NICE Ltd are expected to decrease at a much smaller rate. During bear market, NICE Ltd is likely to outperform the market.. Although it is vital to follow to NICE Ltd existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity 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 examining NICE Ltd technical indicators you can today evaluate if the expected return of 0.4008% will be sustainable into the future. Please exercises NICE Ltd Semi Deviation, Coefficient Of Variation, Jensen Alpha, as well as the relationship between Downside Deviation and Information Ratio to make a quick decision on weather NICE Ltd current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.27 
correlation synergy

Poor predictability

NICE Ltd has poor predictability. Overlapping area represents the amount of predictability between NICE Ltd time series from October 13, 2018 to November 12, 2018 and November 12, 2018 to December 12, 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 NICE Ltd price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current NICE Ltd price fluctuation can be explain by its past prices.
Correlation Coefficient0.27
Spearman Rank Test0.46
Residual Average0.0
Price Variance907892.35

NICE Ltd lagged returns against current returns

 Current and Lagged Values 

NICE Ltd regressed lagged prices vs. current prices

 Current vs Lagged Prices 

NICE Ltd Lagged Returns

 Regressed Prices 

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Please see also NICE Ltd Hype Analysis, NICE Ltd Correlation, NICE Ltd Valuation, NICE Ltd Volatility as well as analyze NICE Ltd Alpha and Beta and NICE Ltd Performance. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.