Ayalon Holdings (Israel) Market Value
| AYAL Stock | ILA 3,085 80.00 2.66% |
| Symbol | Ayalon |
Ayalon Holdings '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 Ayalon Holdings' 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 Ayalon Holdings.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Ayalon Holdings on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Ayalon Holdings or generate 0.0% return on investment in Ayalon Holdings over 30 days. Ayalon Holdings is related to or competes with Clal Insurance, Migdal Insurance, Harel Insurance, Menora Miv, and Phoenix Holdings. Ayalon Holdings Ltd, through its subsidiaries, provides various insurance products in Israel More
Ayalon Holdings 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 Ayalon Holdings' 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 Ayalon Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.3 | |||
| Information Ratio | 0.2561 | |||
| Maximum Drawdown | 10.55 | |||
| Value At Risk | (3.32) | |||
| Potential Upside | 6.03 |
Ayalon Holdings Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ayalon Holdings' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ayalon Holdings' standard deviation. In reality, there are many statistical measures that can use Ayalon Holdings historical prices to predict the future Ayalon Holdings' volatility.| Risk Adjusted Performance | 0.2423 | |||
| Jensen Alpha | 0.8416 | |||
| Total Risk Alpha | 0.3661 | |||
| Sortino Ratio | 0.2977 | |||
| Treynor Ratio | (3.56) |
Ayalon Holdings Backtested Returns
Ayalon Holdings appears to be very steady, given 3 months investment horizon. Ayalon Holdings secures Sharpe Ratio (or Efficiency) of 0.39, which signifies that the company had a 0.39% return per unit of standard deviation over the last 3 months. By analyzing Ayalon Holdings' technical indicators, you can evaluate if the expected return of 0.93% is justified by implied risk. Please makes use of Ayalon Holdings' risk adjusted performance of 0.2423, and Mean Deviation of 2.03 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Ayalon Holdings holds a performance score of 31. The firm shows a Beta (market volatility) of -0.23, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ayalon Holdings are expected to decrease at a much lower rate. During the bear market, Ayalon Holdings is likely to outperform the market. Please check Ayalon Holdings' market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether Ayalon Holdings' price patterns will revert.
Auto-correlation | 0.89 |
Very good predictability
Ayalon Holdings has very good predictability. Overlapping area represents the amount of predictability between Ayalon Holdings time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 Ayalon Holdings price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Ayalon Holdings price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 13.4 K |
Ayalon Holdings lagged returns against current returns
Autocorrelation, which is Ayalon Holdings 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 Ayalon Holdings' stock expected returns. We can calculate the autocorrelation of Ayalon Holdings returns to help us make a trade decision. For example, suppose you find that Ayalon Holdings 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 |
Ayalon Holdings 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 Ayalon Holdings stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ayalon Holdings stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ayalon Holdings stock over time.
Current vs Lagged Prices |
| Timeline |
Ayalon Holdings Lagged Returns
When evaluating Ayalon Holdings' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ayalon Holdings stock have on its future price. Ayalon Holdings 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, Ayalon Holdings autocorrelation shows the relationship between Ayalon Holdings stock current value and its past values and can show if there is a momentum factor associated with investing in Ayalon Holdings.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Ayalon Stock
Ayalon Holdings financial ratios help investors to determine whether Ayalon Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Ayalon with respect to the benefits of owning Ayalon Holdings security.