Phoenix Holdings (Israel) Backtesting

PHOE -- Israel Stock  

ILS 2,144  47.00  2.15%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of The Phoenix Holdings Ltd and determine expected loss or profit from investing in Phoenix Holdings over given investment horizon. Additionally take a look at Phoenix Holdings Hype Analysis, Phoenix Holdings Correlation, Phoenix Holdings Valuation, Phoenix Holdings Volatility as well as analyze Phoenix Holdings Alpha and Beta and Phoenix Holdings Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Phoenix Holdings 'What if' Analysis

September 15, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 15, 2018
0.00
If you would invest  0.00  in Phoenix Holdings on September 15, 2018 and sell it all today you would earn a total of 0.00 from holding The Phoenix Holdings Ltd or generate 0.0% return on investment in Phoenix Holdings over 30 days. Phoenix Holdings is related to or competes with Bezeq Israel, Oil Refineries, Perrigo Company, Bank Leumi, Azrieli Group, Mizrahi Tefahot, and Israel Discount. The Phoenix Holdings Ltd. provides various insurance products in Israel

Phoenix Holdings Upside/Downside Indicators

Downside Deviation1.76
Information Ratio0.185
Maximum Drawdown4.35
Value At Risk1.97
Potential Upside1.87
  

Phoenix Holdings Market Premium Indicators

Risk Adjusted Performance0.0791
Jensen Alpha0.0219
Total Risk Alpha0.2692
Sortino Ratio0.1327
Treynor Ratio0.20

The Phoenix Holdings Backtested Returns

We consider Phoenix Holdings not too risky. The Phoenix Holdings maintains Sharpe Ratio (i.e. Efficiency) of 0.1008 which implies The Phoenix Holdings had 0.1008% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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 The Phoenix Holdings which you can use to evaluate future volatility of the company. Please check The Phoenix Holdings Coefficient Of Variation of 1325.62, Semi Deviation of 1.14 and Market Risk Adjusted Performance of 0.19 to confirm if risk estimate we provide are consistent with the epected return of 0.1385%. Phoenix Holdings has performance score of 6 on a scale of 0 to 100. The organization holds Beta of -0.4277 which implies as returns on market increase, returns on owning Phoenix Holdings are expected to decrease at a much smaller rate. During bear market, Phoenix Holdings is likely to outperform the market.. Although it is extremely important to respect The Phoenix Holdings current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 The Phoenix Holdings technical indicators you can presently evaluate if the expected return of 0.1385% will be sustainable into the future. The Phoenix Holdings right now holds a risk of 1.3737%. Please check The Phoenix Holdings Downside Deviation, Standard Deviation, Information Ratio, as well as the relationship between Coefficient Of Variation and Variance to decide if The Phoenix Holdings will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 

Modest reverse predictability

The Phoenix Holdings Ltd has modest reverse predictability. Overlapping area represents the amount of predictability between Phoenix Holdings time series from September 15, 2018 to September 30, 2018 and September 30, 2018 to October 15, 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 The Phoenix Holdings price movement. The serial correlation of -0.44 indicates that just about 44.0% of current Phoenix Holdings price fluctuation can be explain by its past prices. Given that The Phoenix Holdings Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Phoenix Holdings for similar time interval.
Correlation Coefficient-0.44
Spearman Rank Test-0.55
Residual Average0.0
Price Variance1035.98

The Phoenix Holdings lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Phoenix Holdings regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Phoenix Holdings Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - PHOE

The Phoenix Holdings Investor Sentiment

Macroaxis portfolio users are evenly split in their perspective on investing in The Phoenix Holdings Ltd. What is your perspective on investing in The Phoenix Holdings Ltd? Are you bullish or bearish?
Bullish
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50% Bullish
50% Bearish
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Additionally take a look at Phoenix Holdings Hype Analysis, Phoenix Holdings Correlation, Phoenix Holdings Valuation, Phoenix Holdings Volatility as well as analyze Phoenix Holdings Alpha and Beta and Phoenix Holdings Performance. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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