Salomon A (Israel) Risk Analysis And Volatility Evaluation

ANGL -- Israel Stock  

ILS 3,084  4.00  0.13%

Macroaxis considers Salomon A unknown risk given 1 month investment horizon. Salomon A Angel owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2281 which indicates Salomon A Angel had 0.2281% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Salomon A Angel Ltd which you can use to evaluate future volatility of the company. Please operate Salomon A Coefficient Of Variation of 334.79 and Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Salomon A Angel Technical Analysis

Transformation
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Salomon A Projected Return Density Against Market

Assuming 30 trading days horizon, Salomon A has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Salomon A are completely uncorrelated. Furthermore, Salomon A Angel LtdIt does not look like Salomon A alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Salomon A is 438.37. The daily returns are destributed with a variance of 2.36 and standard deviation of 1.54. The mean deviation of Salomon A Angel Ltd is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.54
Ir
Information ratio =0.00

Salomon A Return Volatility

Salomon A Angel Ltd accepts 1.5364% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Salomon A Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Salomon A Investment Opportunity

Salomon A Angel Ltd has a volatility of 1.54 and is 1.51 times more volatile than DOW. 13% of all equities and portfolios are less risky than Salomon A. Compared to the overall equity markets, volatility of historical daily returns of Salomon A Angel Ltd is lower than 13 (%) of all global equities and portfolios over the last 30 days.

Salomon A Volatility Indicators

Salomon A Angel Ltd Current Risk Indicators

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