Israel Index (Israel) Backtesting

NQIL -- Israel Index  

 1,086  1.16  0.11%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Israel Index and determine expected loss or profit from investing in Israel Index over given investment horizon. See also Israel Index Hype Analysis, Israel Index Correlation, Portfolio Optimization, Israel Index Volatility as well as analyze Israel Index Alpha and Beta and Israel Index Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Israel Index 'What if' Analysis

September 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 13, 2019
0.00
If you would invest  0.00  in Israel Index on September 14, 2019 and sell it all today you would earn a total of 0.00 from holding Israel Index or generate 0.0% return on investment in Israel Index over 90 days.

Israel Index Upside/Downside Indicators

Downside Deviation1.59
Information Ratio(0.06)
Maximum Drawdown5.18
Value At Risk(0.56)
Potential Upside1.08

Israel Index Market Premium Indicators

Risk Adjusted Performance0.0235
Total Risk Alpha(0.032446)
Sortino Ratio(0.020848)

Israel Index Backtested Returns

Israel Index holds Efficiency (Sharpe) Ratio of 0.0921 which attests that the entity had 0.0921% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Israel Index which you can use to evaluate future volatility of the entity. The index retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and Israel Index are completely uncorrelated. Although it is extremely important to respect Israel Index current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating Israel Index technical indicators you can presently evaluate if the expected return of 0.0862% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.28 
correlation synergy

Poor predictability

Israel Index has poor predictability. Overlapping area represents the amount of predictability between Israel Index time series from September 14, 2019 to October 29, 2019 and October 29, 2019 to December 13, 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 Israel Index price movement. The serial correlation of 0.28 indicates that nearly 28.0% of current Israel Index price fluctuation can be explain by its past prices.
Correlation Coefficient0.28
Spearman Rank Test0.34
Residual Average0.0
Price Variance199.49

Israel Index lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Israel Index regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Israel Index Lagged Returns

 Regressed Prices 
      Timeline 

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See also Israel Index Hype Analysis, Israel Index Correlation, Portfolio Optimization, Israel Index Volatility as well as analyze Israel Index Alpha and Beta and Israel Index Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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