Teva Pharmaceutical (Israel) Backtesting

TEVA -- Israel Stock  

ILS 7,760  266.00  3.55%

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
Backtest

Teva Pharmaceutical 'What if' Analysis

September 15, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 15, 2018
0.00
If you would invest  0.00  in Teva Pharmaceutical on September 15, 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 30 days. Teva Pharmaceutical is related to or competes with Migdal Insurance, Clal Insurance, Harel Insurance, Ayalon Holdings, Delek Group, and I D. Teva Pharmaceutical Industries Limited, a pharmaceutical company, develops, manufactures, markets, and distributes gener...

Teva Pharmaceutical Upside/Downside Indicators

Information Ratio0.11
Maximum Drawdown12.33
Value At Risk3.02
Potential Upside2.16
  

Teva Pharmaceutical Market Premium Indicators

Risk Adjusted Performance0.16
Jensen Alpha0.48
Total Risk Alpha0.06
Treynor Ratio0.8706

Teva Pharmaceutical Backtested Returns

Macroaxis considers Teva Pharmaceutical to be not too risky. Teva Pharmaceutical owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.3341 which indicates Teva Pharmaceutical had -0.3341% of return per unit of risk over the last 1 month. 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-one 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 604.84 and Risk Adjusted Performance of 0.16 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 -0.4696 which indicates as returns on market increase, returns on owning Teva Pharmaceutical are expected to decrease at a much smaller rate. During bear market, Teva Pharmaceutical is likely to outperform the market.. 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-one different technical indicators which can help you to evaluate its performance. Teva Pharmaceutical has expected return of -0.6655%. Please be advised to validate Teva Pharmaceutical Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation 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 0.93 

Excellent predictability

Teva Pharmaceutical Industries Limited has excellent predictability. Overlapping area represents the amount of predictability between Teva Pharmaceutical time series from September 15, 2018 to September 30, 2018 and September 30, 2018 to October 15, 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 0.93 indicates that approximately 93.0% of current Teva Pharmaceutical price fluctuation can be explain by its past prices.
Correlation Coefficient0.93
Spearman Rank Test0.55
Residual Average0.0
Price Variance24743.69

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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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