A L (Israel) Risk Analysis And Volatility Evaluation

ALD -- Israel Stock  

ILS 326.80  1.00  0.31%

Macroaxis considers A L to be unknown risk. A L D secures Sharpe Ratio (or Efficiency) of -0.2942 which signifies that A L D had -0.2942% of return per unit of return volatility over the last 1 month. 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 0.9436 and Coefficient Of Variation of 451.95 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 at a much smaller rate. During bear market, A L is likely to outperform the market.
One Month Beta |Analyze A L D Demand Trend
Check current 30 days A L correlation with market (DOW)
β = -0.2547
A L Almost negative betaA L D Beta Legend

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 -0.2547 . This suggests as returns on benchmark increase, returns on holding A L are expected to decrease at a much smaller rate. During bear market, however, A L D Advanced Logistics Developments Ltd is likely to outperform the market. 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 -339.92. The daily returns are destributed with a variance of 3.84 and standard deviation of 1.96. The mean deviation of A L D Advanced Logistics Developments Ltd is currently at 1.3. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.42
β
Beta against DOW=0.25
σ
Overall volatility
=1.96
Ir
Information ratio =0.11

A L Return Volatility

A L D Advanced Logistics Developments Ltd assumes 1.9599% volatility of returns over the 30 days investment horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

A L Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

A L Investment Opportunity

A L D Advanced Logistics Developments Ltd has a volatility of 1.96 and is 1.85 times more volatile than DOW. 17% 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 lower than 17 (%) 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 normal downward trend and little activity. Check odds of A L to be traded at S323.53 in 30 days. As returns on market increase, returns on owning A L are expected to decrease at a much smaller rate. During bear market, A L is likely to outperform the market.

A L correlation with market

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

Check also Trending Equities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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