Sapiens International (Israel) Backtesting

SPNS -- Israel Stock  

ILS 4,282  117.00  2.66%

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

September 18, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 18, 2018
0.00
If you would invest  0.00  in Sapiens International on September 18, 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 30 days. Sapiens International Corporation N.V. provides software solutions for the insurance and financial services industries i...

Sapiens International Upside/Downside Indicators

Downside Deviation1.07
Information Ratio0.1121
Maximum Drawdown5.79
Value At Risk1.37
Potential Upside1.7
  

Sapiens International Market Premium Indicators

Risk Adjusted Performance0.0499
Jensen Alpha0.0667
Total Risk Alpha0.1723
Sortino Ratio0.1395
Treynor Ratio0.2861

Sapiens International Backtested Returns

We consider Sapiens International not too risky. Sapiens International owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1211 which indicates Sapiens International had 0.1211% 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 Sapiens International Corporation N V which you can use to evaluate future volatility of the company. Please validate Sapiens International Semi Deviation of 0.8323, Coefficient Of Variation of 2225.24 and Risk Adjusted Performance of 0.0499 to confirm if risk estimate we provide are consistent with the epected return of 0.1898%. Sapiens International has performance score of 8 on a scale of 0 to 100. The entity has beta of 0.1731 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 0.1898% will be sustainable into the future. Sapiens International right now has a risk of 1.5675%. 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(0.75) 

Almost perfect reverse predictability

Sapiens International Corporation N V has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Sapiens International time series from September 18, 2018 to October 3, 2018 and October 3, 2018 to October 18, 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 -0.75 indicates that around 75.0% of current Sapiens International price fluctuation can be explain by its past prices. Given that Sapiens International Corporation N V has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Sapiens International for similar time interval.
Correlation Coefficient-0.75
Spearman Rank Test-0.61
Residual Average0.0
Price Variance6745.71

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 

Current Sentiment - SPNS

Sapiens International Investor Sentiment

Macroaxis portfolio users are evenly split in their outlook on investing in Sapiens International Corporation N V. What is your outlook on investing in Sapiens International Corporation N V? Are you bullish or bearish?
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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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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