Sapiens International (Israel) Backtesting

SPNS -- Israel Stock  

ILS 4,409  12.00  0.27%

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

Sapiens International 'What if' Analysis

October 11, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 10, 2018
0.00
If you would invest  0.00  in Sapiens International on October 11, 2018 and sell it all today you would earn a total of 0.00 from holding Sapiens International Corporation N V or generate 0.0% return on investment in Sapiens International over 60 days. Sapiens International is related to or competes with LivePerson, and . Sapiens International Corporation N.V. provides software solutions for the insurance and financial services industries i...

Sapiens International Upside/Downside Indicators

Downside Deviation2.05
Information Ratio0.1598
Maximum Drawdown10.02
Value At Risk(2.66)
Potential Upside3.55
  

Sapiens International Market Premium Indicators

Risk Adjusted Performance0.1044
Jensen Alpha0.1709
Total Risk Alpha0.4008
Sortino Ratio0.156
Treynor Ratio0.725

Sapiens International Backtested Returns

We consider Sapiens International not too risky. Sapiens International owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0564 which indicates Sapiens International had 0.0564% of return per unit of risk over the last 2 months. 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 Sapiens International Corporation N V which you can use to evaluate future volatility of the company. Please validate Sapiens International Semi Deviation of 1.74, Coefficient Of Variation of 1364.11 and Risk Adjusted Performance of 0.1044 to confirm if risk estimate we provide are consistent with the epected return of 0.1246%. Sapiens International has performance score of 3 on a scale of 0 to 100. The entity has beta of 0.1883 which indicates as returns on market increase, Sapiens International returns are expected to increase less than the market. However during bear market, the loss on holding Sapiens International will be expected to be smaller as well.. Although it is extremely important to respect Sapiens International 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 Sapiens International technical indicators you can presently evaluate if the expected return of 0.1246% will be sustainable into the future. Sapiens International right now has a risk of 2.209%. Please validate Sapiens International Information Ratio, Treynor Ratio, Value At Risk, as well as the relationship between Jensen Alpha and Maximum Drawdown to decide if Sapiens International will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.31 
correlation synergy

Below average predictability

Sapiens International Corporation N V has below average predictability. Overlapping area represents the amount of predictability between Sapiens International time series from October 11, 2018 to November 10, 2018 and November 10, 2018 to December 10, 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 Sapiens International price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Sapiens International price fluctuation can be explain by its past prices.
Correlation Coefficient0.31
Spearman Rank Test-0.22
Residual Average0.0
Price Variance33676.71

Sapiens International lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Sapiens International regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Sapiens International Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Sapiens International Hype Analysis, Sapiens International Correlation, Sapiens International Valuation, Sapiens International Volatility as well as analyze Sapiens International Alpha and Beta and Sapiens International Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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