Teva Pharmaceutical Backtesting

TEVA -- USA Stock  

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With this equity back-testing module your can estimate the performance of a buy and hold strategy of Teva Pharmaceutical Industries 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
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Backtest

Teva Pharmaceutical 'What if' Analysis

September 10, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
December 9, 2019
0.00
If you would invest  0.00  in Teva Pharmaceutical on September 10, 2019 and sell it all today you would earn a total of 0.00 from holding Teva Pharmaceutical Industries or generate 0.0% return on investment in Teva Pharmaceutical over 90 days. Teva Pharmaceutical Industries Limited, a pharmaceutical company, develops, manufactures, markets, and distributes gener...

Teva Pharmaceutical Upside/Downside Indicators

Downside Deviation3.13
Information Ratio0.1317
Maximum Drawdown19.73
Value At Risk(5.15)
Potential Upside8.86

Teva Pharmaceutical Market Premium Indicators

Risk Adjusted Performance0.0979
Jensen Alpha0.4895
Total Risk Alpha0.2271
Sortino Ratio0.168
Treynor Ratio0.3463

Teva Pharmaceutical Backtested Returns

Macroaxis considers Teva Pharmaceutical slightly risky given 3 months investment horizon. Teva Pharmaceutical owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0957 which indicates the firm had 0.0957% of return per unit of risk over the last 3 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 Teva Pharmaceutical Industries which you can use to evaluate future volatility of the company. Please operate Teva Pharmaceutical Semi Deviation of 2.85, Coefficient Of Variation of 677.34 and Risk Adjusted Performance of 0.0979 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Teva Pharmaceutical holds performance score of 6. The entity has beta of 1.6714 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Teva Pharmaceutical will likely underperform. Although it is vital to follow to Teva Pharmaceutical current price movements, it is good to be conservative about what you can actually do with the information regarding 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 Teva Pharmaceutical technical indicators you can presently evaluate if the expected return of 0.3665% will be sustainable into the future. Please operates Teva Pharmaceutical Information Ratio, and the relationship between Downside Deviation and Value At Risk to make a quick decision on weather Teva Pharmaceutical existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.67) 
correlation synergy

Very good reverse predictability

Teva Pharmaceutical Industries has very good reverse predictability. Overlapping area represents the amount of predictability between Teva Pharmaceutical time series from September 10, 2019 to October 25, 2019 and October 25, 2019 to December 9, 2019. 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 -0.67 indicates that around 67.0% of current Teva Pharmaceutical price fluctuation can be explain by its past prices. Given that Teva Pharmaceutical Industries 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-0.67
Spearman Rank Test-0.34
Residual Average0.0
Price Variance0.77

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 Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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