Teva Pharmaceutical (Israel) Market Value
| TEVA Stock | ILA 4,885 25.00 0.51% |
| Symbol | Teva |
Teva Pharmaceutical '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 Teva Pharmaceutical's stock 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 Teva Pharmaceutical.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Teva Pharmaceutical on March 26, 2024 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 30 days. Teva Pharmaceutical is related to or competes with Bonus Biogroup, and Compugen. Teva Pharmaceutical Industries Limited, a pharmaceutical company, develops, manufactures, markets, and distributes gener... More
Teva Pharmaceutical 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 Teva Pharmaceutical's stock 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 Teva Pharmaceutical Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.82 | |||
| Information Ratio | 0.1707 | |||
| Maximum Drawdown | 9.68 | |||
| Value At Risk | (3.33) | |||
| Potential Upside | 3.46 |
Teva Pharmaceutical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Teva Pharmaceutical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Teva Pharmaceutical's standard deviation. In reality, there are many statistical measures that can use Teva Pharmaceutical historical prices to predict the future Teva Pharmaceutical's volatility.| Risk Adjusted Performance | 0.1434 | |||
| Jensen Alpha | 0.4739 | |||
| Total Risk Alpha | 0.1521 | |||
| Sortino Ratio | 0.1853 | |||
| Treynor Ratio | (0.69) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Teva Pharmaceutical'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.
Teva Pharmaceutical Backtested Returns
Teva Pharmaceutical appears to be very steady, given 3 months investment horizon. Teva Pharmaceutical owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have found thirty technical indicators for Teva Pharmaceutical Industries, which you can use to evaluate the volatility of the company. Please review Teva Pharmaceutical's Risk Adjusted Performance of 0.1434, coefficient of variation of 456.62, and Semi Deviation of 1.48 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Teva Pharmaceutical holds a performance score of 10. The entity has a beta of -0.61, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Teva Pharmaceutical are expected to decrease at a much lower rate. During the bear market, Teva Pharmaceutical is likely to outperform the market. Please check Teva Pharmaceutical's maximum drawdown, potential upside, semi variance, as well as the relationship between the value at risk and downside variance , to make a quick decision on whether Teva Pharmaceutical's existing price patterns will revert.
Auto-correlation | 0.14 |
Insignificant predictability
Teva Pharmaceutical Industries has insignificant predictability. Overlapping area represents the amount of predictability between Teva Pharmaceutical time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 Teva Pharmaceutical price movement. The serial correlation of 0.14 indicates that less than 14.0% of current Teva Pharmaceutical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.14 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 15.5 K |
Teva Pharmaceutical lagged returns against current returns
Autocorrelation, which is Teva Pharmaceutical stock'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 Teva Pharmaceutical's stock expected returns. We can calculate the autocorrelation of Teva Pharmaceutical returns to help us make a trade decision. For example, suppose you find that Teva Pharmaceutical has exhibited high autocorrelation historically, and you observe that the stock 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 |
Teva Pharmaceutical 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 Teva Pharmaceutical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Teva Pharmaceutical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Teva Pharmaceutical stock over time.
Current vs Lagged Prices |
| Timeline |
Teva Pharmaceutical Lagged Returns
When evaluating Teva Pharmaceutical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Teva Pharmaceutical stock have on its future price. Teva Pharmaceutical 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, Teva Pharmaceutical autocorrelation shows the relationship between Teva Pharmaceutical stock current value and its past values and can show if there is a momentum factor associated with investing in Teva Pharmaceutical Industries.
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 Teva Pharmaceutical 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, Teva Pharmaceutical's short interest history, or implied volatility extrapolated from Teva Pharmaceutical options trading.
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Check out Teva Pharmaceutical Correlation, Teva Pharmaceutical Volatility and Teva Pharmaceutical Alpha and Beta module to complement your research on Teva Pharmaceutical. You can also try the Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
Complementary Tools for Teva Stock analysis
When running Teva Pharmaceutical's price analysis, check to measure Teva Pharmaceutical's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Teva Pharmaceutical is operating at the current time. Most of Teva Pharmaceutical's value examination focuses on studying past and present price action to predict the probability of Teva Pharmaceutical's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Teva Pharmaceutical's price. Additionally, you may evaluate how the addition of Teva Pharmaceutical to your portfolios can decrease your overall portfolio volatility.
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Teva Pharmaceutical technical stock 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, stock market cycles, or different charting patterns.