Bank Hapoalim (Israel) Backtesting

POLI -- Israel Stock  

ILS 2,485  37.00  1.51%

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

Bank Hapoalim 'What if' Analysis

October 17, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 16, 2018
0.00
If you would invest  0.00  in Bank Hapoalim on October 17, 2018 and sell it all today you would earn a total of 0.00 from holding Bank Hapoalim B M or generate 0.0% return on investment in Bank Hapoalim over 60 days. Bank Hapoalim is related to or competes with Bank Leumi, Mizrahi Tefahot, and Israel Discount. Bank Hapoalim B.M., together with its subsidiaries, provides a range of banking and financial products and services in I...

Bank Hapoalim Upside/Downside Indicators

Information Ratio0.0315
Maximum Drawdown9.36
Value At Risk(2.66)
Potential Upside2.18
  

Bank Hapoalim Market Premium Indicators

Risk Adjusted Performance(0.044576)
Jensen Alpha(0.1)
Total Risk Alpha0.0745
Treynor Ratio0.2633

Bank Hapoalim B Backtested Returns

Macroaxis considers Bank Hapoalim to be not too risky. Bank Hapoalim B secures Sharpe Ratio (or Efficiency) of -0.078 which signifies that Bank Hapoalim B had -0.078% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing 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. Bank Hapoalim B M exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bank Hapoalim B Risk Adjusted Performance of (0.044576) and Mean Deviation of 1.05 to double-check risk estimate we provide. Macroaxis gives Bank Hapoalim performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.2524 which signifies that as returns on market increase, returns on owning Bank Hapoalim are expected to decrease at a much smaller rate. During bear market, Bank Hapoalim is likely to outperform the market.. Even though it is essential to pay attention to Bank Hapoalim B historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing 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. Bank Hapoalim B M exposes twenty-one different technical indicators which can help you to evaluate its performance. Bank Hapoalim B has expected return of -0.1357%. Please be advised to confirm Bank Hapoalim B Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Bank Hapoalim B past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 
correlation synergy

Poor reverse predictability

Bank Hapoalim B M has poor reverse predictability. Overlapping area represents the amount of predictability between Bank Hapoalim time series from October 17, 2018 to November 16, 2018 and November 16, 2018 to December 16, 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 Bank Hapoalim B price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Bank Hapoalim price fluctuation can be explain by its past prices. Given that Bank Hapoalim B M has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bank Hapoalim for similar time interval.
Correlation Coefficient-0.39
Spearman Rank Test-0.32
Residual Average0.0
Price Variance3859.82

Bank Hapoalim B lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bank Hapoalim regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bank Hapoalim Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at Bank Hapoalim Hype Analysis, Bank Hapoalim Correlation, Bank Hapoalim Valuation, Bank Hapoalim Volatility as well as analyze Bank Hapoalim Alpha and Beta and Bank Hapoalim Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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