Migdal Mutual (Israel) Market Value
| MTF-F2 Etf | 393.18 0.08 0.02% |
| Symbol | Migdal |
Migdal Mutual 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Migdal Mutual's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Migdal Mutual.
| 03/02/2024 |
| 05/01/2024 |
If you would invest 0.00 in Migdal Mutual on March 2, 2024 and sell it all today you would earn a total of 0.00 from holding Migdal Mutual Funds or generate 0.0% return on investment in Migdal Mutual over 60 days.
Migdal Mutual Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Migdal Mutual's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Migdal Mutual Funds upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.56) | |||
| Maximum Drawdown | 0.7077 | |||
| Value At Risk | (0.28) | |||
| Potential Upside | 0.2096 |
Migdal Mutual Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Migdal Mutual's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Migdal Mutual's standard deviation. In reality, there are many statistical measures that can use Migdal Mutual historical prices to predict the future Migdal Mutual's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Treynor Ratio | (10.40) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Migdal Mutual's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Migdal Mutual. Your research has to be compared to or analyzed against Migdal Mutual's peers to derive any actionable benefits. When done correctly, Migdal Mutual's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in Migdal Mutual Funds.
Migdal Mutual Funds Backtested Returns
Migdal Mutual Funds has Sharpe Ratio of -0.16, which conveys that the entity had a -0.16% return per unit of risk over the last 3 months. Migdal Mutual exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Migdal Mutual's Risk Adjusted Performance of (0.14), mean deviation of 0.1113, and Standard Deviation of 0.1504 to check out the risk estimate we provide. The etf secures a Beta (Market Risk) of 0.0033, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Migdal Mutual's returns are expected to increase less than the market. However, during the bear market, the loss of holding Migdal Mutual is expected to be smaller as well.
Auto-correlation | 0.77 |
Good predictability
Migdal Mutual Funds has good predictability. Overlapping area represents the amount of predictability between Migdal Mutual time series from 2nd of March 2024 to 1st of April 2024 and 1st of April 2024 to 1st of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Migdal Mutual Funds price movement. The serial correlation of 0.77 indicates that around 77.0% of current Migdal Mutual price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 2.92 |
Migdal Mutual Funds lagged returns against current returns
Autocorrelation, which is Migdal Mutual etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Migdal Mutual's etf expected returns. We can calculate the autocorrelation of Migdal Mutual returns to help us make a trade decision. For example, suppose you find that Migdal Mutual has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Migdal Mutual regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Migdal Mutual etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Migdal Mutual etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Migdal Mutual etf over time.
Current vs Lagged Prices |
| Timeline |
Migdal Mutual Lagged Returns
When evaluating Migdal Mutual's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Migdal Mutual etf have on its future price. Migdal Mutual autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Migdal Mutual autocorrelation shows the relationship between Migdal Mutual etf current value and its past values and can show if there is a momentum factor associated with investing in Migdal Mutual Funds.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Migdal Mutual in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Migdal Mutual's short interest history, or implied volatility extrapolated from Migdal Mutual options trading.
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Try AI Portfolio ArchitectCheck out Correlation Analysis to better understand how to build diversified portfolios. Also, note that the market value of any etf could be tightly coupled with the direction of predictive economic indicators such as signals in census. Note that the Migdal Mutual Funds information on this page should be used as a complementary analysis to other Migdal Mutual's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
Migdal Mutual technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.