RedHill Biopharma (Israel) Backtesting

RDHL -- Israel Stock  

ILS 308.40  19.80  6.86%

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

RedHill Biopharma 'What if' Analysis

September 17, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 17, 2018
0.00
If you would invest  0.00  in RedHill Biopharma on September 17, 2018 and sell it all today you would earn a total of 0.00 from holding RedHill Biopharma Ltd or generate 0.0% return on investment in RedHill Biopharma over 30 days. RedHill Biopharma is related to or competes with Bezeq Israel, Oil Refineries, Perrigo Company, Bank Leumi, Israel Chemicals, NICE Ltd, and Azrieli Group. RedHill Biopharma Ltd., a specialty biopharmaceutical company, focuses on the development and commercialization of late ...

RedHill Biopharma Upside/Downside Indicators

Downside Deviation4.94
Information Ratio0.1838
Maximum Drawdown19.66
Value At Risk6.55
Potential Upside8.25
  

RedHill Biopharma Market Premium Indicators

Risk Adjusted Performance0.1933
Jensen Alpha0.8841
Total Risk Alpha1.02
Sortino Ratio0.166
Treynor Ratio0.3784

RedHill Biopharma Backtested Returns

Macroaxis considers RedHill Biopharma not too risky given 1 month investment horizon. RedHill Biopharma maintains Sharpe Ratio (i.e. Efficiency) of 0.1162 which implies RedHill Biopharma had 0.1162% 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. By analyzing RedHill Biopharma technical indicators you can presently evaluate if the expected return of 0.5563% is justified by implied risk. Please employ RedHill Biopharma Coefficient Of Variation of 582.09, Semi Deviation of 3.37 and Risk Adjusted Performance of 0.1933 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 RedHill Biopharma holds performance score of 7. The organization holds Beta of 2.0009 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, RedHill Biopharma will likely underperform.. Although it is vital to follow to RedHill Biopharma current trending patterns, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-one technical indicators for RedHill Biopharma which you can use to evaluate performance of the company. Please employ RedHill Biopharma Downside Deviation, Standard Deviation, Information Ratio, as well as the relationship between Coefficient Of Variation and Variance to make a quick decision on weather RedHill Biopharma historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.24) 

Weak reverse predictability

RedHill Biopharma Ltd has weak reverse predictability. Overlapping area represents the amount of predictability between RedHill Biopharma time series from September 17, 2018 to October 2, 2018 and October 2, 2018 to October 17, 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 RedHill Biopharma price movement. The serial correlation of -0.24 indicates that over 24.0% of current RedHill Biopharma price fluctuation can be explain by its past prices. Given that RedHill Biopharma Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of RedHill Biopharma for similar time interval.
Correlation Coefficient-0.24
Spearman Rank Test-0.58
Residual Average0.0
Price Variance459.71

RedHill Biopharma lagged returns against current returns

 Current and Lagged Values 
      Timeline 

RedHill Biopharma regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

RedHill Biopharma Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at RedHill Biopharma Hype Analysis, RedHill Biopharma Correlation, RedHill Biopharma Valuation, RedHill Biopharma Volatility as well as analyze RedHill Biopharma Alpha and Beta and RedHill Biopharma Performance. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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