Salomon A (Israel) Risk Analysis And Volatility Evaluation

ANGL -- Israel Stock  

ILS 3,637  74.00  1.99%

Macroaxis considers Salomon A not too risky given 2 months investment horizon. Salomon A Angel owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2591 which indicates Salomon A Angel had 0.2591% of return per unit of risk over the last 2 months. 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. By inspecting Salomon A Angel technical indicators you can presently evaluate if the expected return of 0.6239% is justified by implied risk. Please operate Salomon A Semi Deviation of 1.19, Coefficient Of Variation of 390.05 and Risk Adjusted Performance of 0.3579 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Salomon A Market Sensitivity

As returns on market increase, Salomon A returns are expected to increase less than the market. However during bear market, the loss on holding Salomon A will be expected to be smaller as well.
2 Months Beta |Analyze Salomon A Angel Demand Trend
Check current 30 days Salomon A correlation with market (DOW)
β = 0.1031

Salomon A Central Daily Price Deviation

Salomon A Angel Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Salomon A Angel Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Salomon A Projected Return Density Against Market

Assuming 30 trading days horizon, Salomon A has beta of 0.1031 . This suggests as returns on market go up, Salomon A average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Salomon A Angel Ltd will be expected to be much smaller as well. Moreover, Salomon A Angel Ltd has an alpha of 0.5663 implying that it can potentially generate 0.5663% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Salomon A is 386.01. The daily returns are destributed with a variance of 5.8 and standard deviation of 2.41. The mean deviation of Salomon A Angel Ltd is currently at 1.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.57
β
Beta against DOW=0.10
σ
Overall volatility
=2.41
Ir
Information ratio =0.33

Salomon A Return Volatility

Salomon A Angel Ltd accepts 2.4085% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Salomon A Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Salomon A Investment Opportunity

Salomon A Angel Ltd has a volatility of 2.41 and is 1.84 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Salomon A Angel Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Salomon A to be traded at S3527.89 in 30 days. As returns on market increase, Salomon A returns are expected to increase less than the market. However during bear market, the loss on holding Salomon A will be expected to be smaller as well.

Salomon A correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Salomon A Angel Ltd and equity matching DJI index in the same portfolio.

Salomon A Volatility Indicators

Salomon A Angel Ltd Current Risk Indicators

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