A L (Israel) Risk Analysis And Volatility Evaluation

ALD -- Israel Stock  

ILS 237.40  2.60  1.08%

Macroaxis considers A L to be unknown risk. A L D secures Sharpe Ratio (or Efficiency) of -0.1495 which signifies that A L D had -0.1495% of return per unit of return volatility over the last 2 months. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. A L D Advanced Logistics Developments Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm A L D Mean Deviation of 2.74 and Coefficient Of Variation of (650.12) to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

A L Market Sensitivity

As returns on market increase, returns on owning A L are expected to decrease by larger amounts. On the other hand, during market turmoil, A L is expected to significantly outperform it.
2 Months Beta |Analyze A L D Demand Trend
Check current 30 days A L correlation with market (DOW)
β = -1.3311

A L Central Daily Price Deviation

A L D Technical Analysis

Transformation
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A L Projected Return Density Against Market

Assuming 30 trading days horizon, A L D Advanced Logistics Developments Ltd has beta of -1.3311 . This suggests as returns on its benchmark rise, returns on holding A L D Advanced Logistics Developments Ltd are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, A L is expected to outperform its benchmark. Additionally, A L D Advanced Logistics Developments Ltd has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of A L is -668.85. The daily returns are destributed with a variance of 44.88 and standard deviation of 6.7. The mean deviation of A L D Advanced Logistics Developments Ltd is currently at 3.63. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=1.03
β
Beta against DOW=1.33
σ
Overall volatility
=6.70
Ir
Information ratio =0.12

A L Return Volatility

A L D Advanced Logistics Developments Ltd assumes 6.6994% volatility of returns over the 30 days investment horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

A L Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

A L Investment Opportunity

A L D Advanced Logistics Developments Ltd has a volatility of 6.7 and is 5.04 times more volatile than DOW. 60% of all equities and portfolios are less risky than A L. Compared to the overall equity markets, volatility of historical daily returns of A L D Advanced Logistics Developments Ltd is higher than 60 (%) of all global equities and portfolios over the last 30 days. Use A L D Advanced Logistics Developments Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of A L to be traded at S230.28 in 30 days. As returns on market increase, returns on owning A L are expected to decrease by larger amounts. On the other hand, during market turmoil, A L is expected to significantly outperform it.

A L correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding A L D Advanced Logistics Devel and equity matching DJI index in the same portfolio.

A L Volatility Indicators

A L D Advanced Logistics Developments Ltd Current Risk Indicators

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