Aura Investments (Israel) Risk Analysis And Volatility Evaluation

AURA -- Israel Stock  

ILS 221.50  0.50  0.23%

We consider Aura Investments unknown risk. Aura Investments secures Sharpe Ratio (or Efficiency) of 0.0504 which signifies that Aura Investments had 0.0504% of return per unit of risk over the last 1 month. 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 Aura Investments Ltd which you can use to evaluate future volatility of the firm. Please confirm Aura Investments Risk Adjusted Performance of 0.015923 and Mean Deviation of 0.9383 to double-check if risk estimate we provide are consistent with the epected return of 0.1%.
Horizon     30 Days    Login   to change

Aura Investments Market Sensitivity

As returns on market increase, Aura Investments returns are expected to increase less than the market. However during bear market, the loss on holding Aura Investments will be expected to be smaller as well.
One Month Beta |Analyze Aura Investments Demand Trend
Check current 30 days Aura Investments correlation with market (DOW)
β = 0.3109
Aura Investments Small BetaAura Investments Beta Legend

Aura Investments Technical Analysis

Transformation
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Aura Investments Projected Return Density Against Market

Assuming 30 trading days horizon, Aura Investments has beta of 0.3109 . This suggests as returns on market go up, Aura Investments average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Aura Investments Ltd will be expected to be much smaller as well. Additionally, Aura Investments 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 Aura Investments is 1983.68. The daily returns are destributed with a variance of 3.94 and standard deviation of 1.98. The mean deviation of Aura Investments Ltd is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.0078
β
Beta against DOW=0.31
σ
Overall volatility
=1.98
Ir
Information ratio =0.0381

Aura Investments Return Volatility

Aura Investments Ltd accepts 1.9844% volatility on return distribution over the 30 days horizon. DOW inherits 1.0434% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Aura Investments Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Aura Investments Investment Opportunity

Aura Investments Ltd has a volatility of 1.98 and is 1.9 times more volatile than DOW. 17% of all equities and portfolios are less risky than Aura Investments. Compared to the overall equity markets, volatility of historical daily returns of Aura Investments Ltd is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Aura Investments Ltd to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Aura Investments to be traded at S219.29 in 30 days. As returns on market increase, Aura Investments returns are expected to increase less than the market. However during bear market, the loss on holding Aura Investments will be expected to be smaller as well.

Aura Investments correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Aura Investments Ltd and equity matching DJI index in the same portfolio.

Aura Investments Volatility Indicators

Aura Investments Ltd Current Risk Indicators

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