Shapir Engineering (Israel) Backtesting

SPEN -- Israel Stock  

ILS 1,200  2.00  0.17%

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

Shapir Engineering 'What if' Analysis

October 12, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 11, 2018
0.00
If you would invest  0.00  in Shapir Engineering on October 12, 2018 and sell it all today you would earn a total of 0.00 from holding Shapir Engineering and Industry Ltd or generate 0.0% return on investment in Shapir Engineering over 60 days. Shapir Engineering is related to or competes with Electra Ltd, Lewinsky Ofer, Aviv Arlon, and Baran Group. Shapir Engineering and Industry Ltd, together with its subsidiaries, engages in construction, construction materials, an...

Shapir Engineering Upside/Downside Indicators

Information Ratio0.0664
Maximum Drawdown11.16
Value At Risk(2.51)
Potential Upside3.02
  

Shapir Engineering Market Premium Indicators

Risk Adjusted Performance(0.018616)
Jensen Alpha(0.008851)
Total Risk Alpha0.1891
Treynor Ratio(0.21)

Shapir Engineering and Backtested Returns

Macroaxis considers Shapir Engineering to be not too risky. Shapir Engineering and owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0676 which indicates Shapir Engineering and had -0.0676% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. Shapir Engineering and Industry Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Shapir Engineering Coefficient Of Variation of (6,469) and Risk Adjusted Performance of (0.018616) to confirm risk estimate we provide. Macroaxis gives Shapir Engineering performance score of 0 on a scale of 0 to 100. The entity has beta of 0.1844 which indicates as returns on market increase, Shapir Engineering returns are expected to increase less than the market. However during bear market, the loss on holding Shapir Engineering will be expected to be smaller as well.. Even though it is essential to pay attention to Shapir Engineering and current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Shapir Engineering and Industry Ltd exposes twenty-one different technical indicators which can help you to evaluate its performance. Shapir Engineering and has expected return of -0.1171%. Please be advised to validate Shapir Engineering Coefficient Of Variation, Variance and the relationship between Downside Deviation and Standard Deviation to decide if Shapir Engineering and past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.92) 
correlation synergy

Near perfect reversele predictability

Shapir Engineering and Industry Ltd has near perfect reversele predictability. Overlapping area represents the amount of predictability between Shapir Engineering time series from October 12, 2018 to November 11, 2018 and November 11, 2018 to December 11, 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 Shapir Engineering and price movement. The serial correlation of -0.92 indicates that approximately 92.0% of current Shapir Engineering price fluctuation can be explain by its past prices. Given that Shapir Engineering and Industry Ltd has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Shapir Engineering for similar time interval.
Correlation Coefficient-0.92
Spearman Rank Test-0.74
Residual Average0.0
Price Variance1864.82

Shapir Engineering and lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Shapir Engineering regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Shapir Engineering Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - SPEN

Shapir Engineering and Investor Sentiment

Macroaxis portfolio users are evenly split in their outlook on investing in Shapir Engineering and Industry Ltd. What is your outlook on investing in Shapir Engineering and Industry Ltd? Are you bullish or bearish?
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Also please take a look at Shapir Engineering Hype Analysis, Shapir Engineering Correlation, Shapir Engineering Valuation, Shapir Engineering Volatility as well as analyze Shapir Engineering Alpha and Beta and Shapir Engineering Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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