Mizrahi Tefahot (Israel) Market Value
| MZTF Stock | 13,520 130.00 0.95% |
| Symbol | Mizrahi |
Mizrahi Tefahot '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 Mizrahi Tefahot'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 Mizrahi Tefahot.
| 04/09/2024 |
| 05/09/2024 |
If you would invest 0.00 in Mizrahi Tefahot on April 9, 2024 and sell it all today you would earn a total of 0.00 from holding Mizrahi Tefahot or generate 0.0% return on investment in Mizrahi Tefahot over 30 days. Mizrahi Tefahot is related to or competes with Teuza A, and Analyst IMS. Mizrahi Tefahot Bank Ltd., together with its subsidiaries, provides a range of international, commercial, domestic, and ... More
Mizrahi Tefahot 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 Mizrahi Tefahot'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 Mizrahi Tefahot upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 11.57 | |||
| Value At Risk | (3.06) | |||
| Potential Upside | 4.01 |
Mizrahi Tefahot Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mizrahi Tefahot's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mizrahi Tefahot's standard deviation. In reality, there are many statistical measures that can use Mizrahi Tefahot historical prices to predict the future Mizrahi Tefahot's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | 0.1106 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mizrahi Tefahot'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.
Mizrahi Tefahot Backtested Returns
We consider Mizrahi Tefahot very steady. Mizrahi Tefahot has Sharpe Ratio of 0.0429, which conveys that the firm had a 0.0429% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for Mizrahi Tefahot, which you can use to evaluate the volatility of the firm. Please verify Mizrahi Tefahot's Mean Deviation of 1.75, risk adjusted performance of (0), and Standard Deviation of 2.24 to check out if the risk estimate we provide is consistent with the expected return of 0.0972%. Mizrahi Tefahot has a performance score of 3 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.38, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Mizrahi Tefahot are expected to decrease at a much lower rate. During the bear market, Mizrahi Tefahot is likely to outperform the market. Mizrahi Tefahot right now secures a risk of 2.27%. Please verify Mizrahi Tefahot accumulation distribution, rate of daily change, and the relationship between the kurtosis and daily balance of power , to decide if Mizrahi Tefahot will be following its current price movements.
Auto-correlation | 0.08 |
Virtually no predictability
Mizrahi Tefahot has virtually no predictability. Overlapping area represents the amount of predictability between Mizrahi Tefahot time series from 9th of April 2024 to 24th of April 2024 and 24th of April 2024 to 9th 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 Mizrahi Tefahot price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Mizrahi Tefahot price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 23.3 K |
Mizrahi Tefahot lagged returns against current returns
Autocorrelation, which is Mizrahi Tefahot 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 Mizrahi Tefahot's stock expected returns. We can calculate the autocorrelation of Mizrahi Tefahot returns to help us make a trade decision. For example, suppose you find that Mizrahi Tefahot 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 |
Mizrahi Tefahot 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 Mizrahi Tefahot stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mizrahi Tefahot stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mizrahi Tefahot stock over time.
Current vs Lagged Prices |
| Timeline |
Mizrahi Tefahot Lagged Returns
When evaluating Mizrahi Tefahot's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mizrahi Tefahot stock have on its future price. Mizrahi Tefahot 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, Mizrahi Tefahot autocorrelation shows the relationship between Mizrahi Tefahot stock current value and its past values and can show if there is a momentum factor associated with investing in Mizrahi Tefahot.
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 Mizrahi Tefahot 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, Mizrahi Tefahot's short interest history, or implied volatility extrapolated from Mizrahi Tefahot options trading.
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Mizrahi Tefahot Correlation, Mizrahi Tefahot Volatility and Mizrahi Tefahot Alpha and Beta module to complement your research on Mizrahi Tefahot. You can also try the Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
Complementary Tools for Mizrahi Stock analysis
When running Mizrahi Tefahot's price analysis, check to measure Mizrahi Tefahot'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 Mizrahi Tefahot is operating at the current time. Most of Mizrahi Tefahot's value examination focuses on studying past and present price action to predict the probability of Mizrahi Tefahot's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mizrahi Tefahot's price. Additionally, you may evaluate how the addition of Mizrahi Tefahot to your portfolios can decrease your overall portfolio volatility.
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals |
Mizrahi Tefahot 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.