Teva Pharmaceutical (Israel) Backtesting

TEVA -- Israel Stock  

ILS 6,646  49.00  0.73%

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

October 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 18, 2018
0.00
If you would invest  0.00  in Teva Pharmaceutical on October 19, 2018 and sell it all today you would earn a total of 0.00 from holding Teva Pharmaceutical Industries Limited or generate 0.0% return on investment in Teva Pharmaceutical over 60 days. Teva Pharmaceutical is related to or competes with Internet Gold, Bezeq Israel, and B Communications. Teva Pharmaceutical Industries Limited, a pharmaceutical company, develops, manufactures, markets, and distributes gener...

Teva Pharmaceutical Upside/Downside Indicators

Information Ratio(0.15)
Maximum Drawdown16.02
Value At Risk(4.90)
Potential Upside4.46
  

Teva Pharmaceutical Market Premium Indicators

Risk Adjusted Performance(0.26)
Jensen Alpha(0.56)
Total Risk Alpha(0.23)
Treynor Ratio(2.78)

Teva Pharmaceutical Backtested Returns

Macroaxis considers Teva Pharmaceutical to be not too risky. Teva Pharmaceutical owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1607 which indicates Teva Pharmaceutical had -0.1607% 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. Teva Pharmaceutical Industries Limited exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Teva Pharmaceutical Coefficient Of Variation of (500.60) and Risk Adjusted Performance of (0.26) to confirm risk estimate we provide. Macroaxis gives Teva Pharmaceutical performance score of 0 on a scale of 0 to 100. The entity has beta of 0.2158 which indicates as returns on market increase, Teva Pharmaceutical returns are expected to increase less than the market. However during bear market, the loss on holding Teva Pharmaceutical will be expected to be smaller as well.. Even though it is essential to pay attention to Teva Pharmaceutical 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. Teva Pharmaceutical Industries Limited exposes twenty-eight different technical indicators which can help you to evaluate its performance. Teva Pharmaceutical has expected return of -0.5387%. Please be advised to validate Teva Pharmaceutical Maximum Drawdown, Potential Upside, Semi Variance, as well as the relationship between Value At Risk and Downside Variance to decide if Teva Pharmaceutical past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 
correlation synergy

Good reverse predictability

Teva Pharmaceutical Industries Limited has good reverse predictability. Overlapping area represents the amount of predictability between Teva Pharmaceutical time series from October 19, 2018 to November 18, 2018 and November 18, 2018 to December 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 Teva Pharmaceutical price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Teva Pharmaceutical price fluctuation can be explain by its past prices. Given that Teva Pharmaceutical Industries Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Teva Pharmaceutical for similar time interval.
Correlation Coefficient-0.56
Spearman Rank Test-0.76
Residual Average0.0
Price Variance215438.62

Teva Pharmaceutical lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Teva Pharmaceutical regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Teva Pharmaceutical Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Teva Pharmaceutical Hype Analysis, Teva Pharmaceutical Correlation, Teva Pharmaceutical Valuation, Teva Pharmaceutical Volatility as well as analyze Teva Pharmaceutical Alpha and Beta and Teva Pharmaceutical Performance. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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