Airport City (Israel) Risk Analysis And Volatility Evaluation

ARPT -- Israel Stock  

ILS 4,755  25.00  0.52%

Macroaxis considers Airport City unknown risk given 2 months investment horizon. Airport City secures Sharpe Ratio (or Efficiency) of 0.2836 which signifies that Airport City had 0.2836% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing 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 Airport City Ltd which you can use to evaluate future volatility of the firm. Please makes use of Airport City Downside Deviation of 1.15, Risk Adjusted Performance of 0.2102 and Mean Deviation of 0.9894 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Airport City Market Sensitivity

As returns on market increase, returns on owning Airport City are expected to decrease at a much smaller rate. During bear market, Airport City is likely to outperform the market.
2 Months Beta |Analyze Airport City Demand Trend
Check current 30 days Airport City correlation with market (DOW)
β = -0.1478

Airport City Central Daily Price Deviation

Airport City Technical Analysis

Transformation
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Airport City Projected Return Density Against Market

Assuming 30 trading days horizon, Airport City Ltd has beta of -0.1478 . This suggests as returns on benchmark increase, returns on holding Airport City are expected to decrease at a much smaller rate. During bear market, however, Airport City Ltd is likely to outperform the market. Moreover, Airport City Ltd has an alpha of 0.1916 implying that it can potentially generate 0.1916% 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 Airport City is 352.65. The daily returns are destributed with a variance of 1.76 and standard deviation of 1.33. The mean deviation of Airport City Ltd is currently at 0.97. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.19
β
Beta against DOW=0.15
σ
Overall volatility
=1.33
Ir
Information ratio =0.24

Airport City Return Volatility

Airport City Ltd accepts 1.3269% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Airport City Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Airport City Investment Opportunity

Airport City Ltd has a volatility of 1.33 and is 1.02 times more volatile than DOW. 12% of all equities and portfolios are less risky than Airport City. Compared to the overall equity markets, volatility of historical daily returns of Airport City Ltd is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Airport City Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Airport City to be traded at S4659.9 in 30 days. As returns on market increase, returns on owning Airport City are expected to decrease at a much smaller rate. During bear market, Airport City is likely to outperform the market.

Airport City correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Airport City Ltd and equity matching DJI index in the same portfolio.

Airport City Volatility Indicators

Airport City Ltd Current Risk Indicators

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