Mizrahi Tefahot (Israel) Market Value
| MZTF Stock | 17,270 140.00 0.80% |
| 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.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Mizrahi Tefahot on December 16, 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 90 days. Mizrahi Tefahot is related to or competes with Bank Leumi, Bank Hapoalim, Israel Discount, First International, and Elbit Systems. 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.
| Downside Deviation | 1.3 | |||
| Information Ratio | 0.2079 | |||
| Maximum Drawdown | 5.54 | |||
| Value At Risk | (2.39) | |||
| Potential Upside | 2.25 |
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 | 0.1181 | |||
| Jensen Alpha | 0.1866 | |||
| Total Risk Alpha | 0.3245 | |||
| Sortino Ratio | 0.2074 | |||
| Treynor Ratio | 0.7012 |
Mizrahi Tefahot Backtested Returns
At this point, Mizrahi Tefahot is very steady. Mizrahi Tefahot has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Mizrahi Tefahot, which you can use to evaluate the volatility of the firm. Please verify Mizrahi Tefahot's Risk Adjusted Performance of 0.1181, downside deviation of 1.3, and Mean Deviation of 1.03 to check out if the risk estimate we provide is consistent with the expected return of 0.18%. Mizrahi Tefahot has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.23, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mizrahi Tefahot's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mizrahi Tefahot is expected to be smaller as well. Mizrahi Tefahot right now secures a risk of 1.33%. Please verify Mizrahi Tefahot maximum drawdown, potential upside, semi variance, as well as the relationship between the value at risk and downside variance , to decide if Mizrahi Tefahot will be following its current price movements.
Auto-correlation | 0.17 |
Very weak predictability
Mizrahi Tefahot has very weak predictability. Overlapping area represents the amount of predictability between Mizrahi Tefahot time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 2025. 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 0.17 indicates that over 17.0% of current Mizrahi Tefahot price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 60.3 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 |
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 Mizrahi Stock
Mizrahi Tefahot financial ratios help investors to determine whether Mizrahi 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 Mizrahi with respect to the benefits of owning Mizrahi Tefahot security.