Elbit Systems (Israel) Market Value
| ESLT Stock | ILA 92,600 990.00 1.06% |
| Symbol | Elbit |
Elbit Systems '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 Elbit Systems' 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 Elbit Systems.
| 12/06/2022 |
| 11/25/2024 |
If you would invest 0.00 in Elbit Systems on December 6, 2022 and sell it all today you would earn a total of 0.00 from holding Elbit Systems or generate 0.0% return on investment in Elbit Systems over 720 days. Elbit Systems is related to or competes with Arad, Alony Hetz, Danel, Airport City, and Harel Insurance. Elbit Systems Ltd. develops and supplies a portfolio of airborne, land, and naval systems and products for defense, home... More
Elbit Systems 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 Elbit Systems' 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 Elbit Systems upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.14 | |||
| Information Ratio | 0.2094 | |||
| Maximum Drawdown | 8.26 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 4.09 |
Elbit Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Elbit Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Elbit Systems' standard deviation. In reality, there are many statistical measures that can use Elbit Systems historical prices to predict the future Elbit Systems' volatility.| Risk Adjusted Performance | 0.2234 | |||
| Jensen Alpha | 0.4822 | |||
| Total Risk Alpha | 0.2118 | |||
| Sortino Ratio | 0.3218 | |||
| Treynor Ratio | 9.96 |
Elbit Systems Backtested Returns
Elbit Systems appears to be very steady, given 3 months investment horizon. Elbit Systems secures Sharpe Ratio (or Efficiency) of 0.28, which denotes the company had a 0.28% return per unit of standard deviation over the last 3 months. By reviewing Elbit Systems' technical indicators, you can evaluate if the expected return of 0.52% is justified by implied risk. Please utilize Elbit Systems' Mean Deviation of 1.28, semi deviation of 0.6441, and Downside Deviation of 1.14 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Elbit Systems holds a performance score of 22. The firm shows a Beta (market volatility) of 0.049, which means not very significant fluctuations relative to the market. As returns on the market increase, Elbit Systems' returns are expected to increase less than the market. However, during the bear market, the loss of holding Elbit Systems is expected to be smaller as well. Please check Elbit Systems' 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 Elbit Systems' price patterns will revert.
Auto-correlation | -0.18 |
Insignificant reverse predictability
Elbit Systems has insignificant reverse predictability. Overlapping area represents the amount of predictability between Elbit Systems time series from 6th of December 2022 to 1st of December 2023 and 1st of December 2023 to 25th 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 Elbit Systems price movement. The serial correlation of -0.18 indicates that over 18.0% of current Elbit Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | -0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 30.2 M |
Elbit Systems lagged returns against current returns
Autocorrelation, which is Elbit Systems 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 Elbit Systems' stock expected returns. We can calculate the autocorrelation of Elbit Systems returns to help us make a trade decision. For example, suppose you find that Elbit Systems 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 |
Elbit Systems 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 Elbit Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Elbit Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Elbit Systems stock over time.
Current vs Lagged Prices |
| Timeline |
Elbit Systems Lagged Returns
When evaluating Elbit Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Elbit Systems stock have on its future price. Elbit Systems 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, Elbit Systems autocorrelation shows the relationship between Elbit Systems stock current value and its past values and can show if there is a momentum factor associated with investing in Elbit Systems.
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.Additional Information and Resources on Investing in Elbit Stock
When determining whether Elbit Systems is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Elbit Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Elbit Systems Stock. Highlighted below are key reports to facilitate an investment decision about Elbit Systems Stock:Check out Elbit Systems Correlation, Elbit Systems Volatility and Elbit Systems Alpha and Beta module to complement your research on Elbit Systems. For information on how to trade Elbit Stock refer to our How to Trade Elbit Stock guide.You can also try the Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Elbit Systems 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.