Solegreen Ltd (Israel) Backtesting

SLGN -- Israel Stock  

ILS 850.00  0.00  0.00%

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

Solegreen Ltd 'What if' Analysis

September 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 20, 2018
0.00
If you would invest  0.00  in Solegreen Ltd on September 20, 2018 and sell it all today you would earn a total of 0.00 from holding Solegreen Ltd or generate 0.0% return on investment in Solegreen Ltd over 30 days. Solegreen Ltd is related to or competes with Bezeq Israel, Oil Refineries, Perrigo Company, Bank Leumi, Israel Chemicals, NICE Ltd, and Azrieli Group. Solegreen Ltd engages in the renewable energy business in Israel

Solegreen Ltd Upside/Downside Indicators

Information Ratio0.011646
Maximum Drawdown5.62
Value At Risk2.30
Potential Upside2.43
  

Solegreen Ltd Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.12
Total Risk Alpha0.062
Treynor Ratio0.45

Solegreen Ltd Backtested Returns

We consider Solegreen Ltd not too risky. Solegreen Ltd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0654 which indicates Solegreen Ltd had 0.0654% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Solegreen Ltd which you can use to evaluate future volatility of the company. Please validate Solegreen Ltd Coefficient Of Variation of 879.86 and Risk Adjusted Performance of 0.12 to confirm if risk estimate we provide are consistent with the epected return of 0.1036%. Solegreen Ltd has performance score of 4 on a scale of 0 to 100. The entity has beta of 0.4277 which indicates as returns on market increase, Solegreen Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Solegreen Ltd will be expected to be smaller as well.. Although it is extremely important to respect Solegreen Ltd current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Solegreen Ltd technical indicators you can presently evaluate if the expected return of 0.1036% will be sustainable into the future. Solegreen Ltd right now has a risk of 1.583%. Please validate Solegreen Ltd Jensen Alpha, Maximum Drawdown and the relationship between Information Ratio and Treynor Ratio to decide if Solegreen Ltd will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

Very weak reverse predictability

Solegreen Ltd has very weak reverse predictability. Overlapping area represents the amount of predictability between Solegreen Ltd time series from September 20, 2018 to October 5, 2018 and October 5, 2018 to October 20, 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 Solegreen Ltd price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Solegreen Ltd price fluctuation can be explain by its past prices. Given that Solegreen Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Solegreen Ltd for similar time interval.
Correlation Coefficient-0.05
Spearman Rank Test0.43
Residual Average0.0
Price Variance98.24

Solegreen Ltd lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Solegreen Ltd regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Solegreen Ltd Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Solegreen Ltd Hype Analysis, Solegreen Ltd Correlation, Solegreen Ltd Valuation, Solegreen Ltd Volatility as well as analyze Solegreen Ltd Alpha and Beta and Solegreen Ltd Performance. Please also try Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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