Avgol Industries (Israel) Risk Analysis And Volatility Evaluation

AVGL -- Israel Stock  

ILS 403.80  3.50  0.86%

Macroaxis considers Avgol Industries to be unknown risk. Avgol Industries 1953 secures Sharpe Ratio (or Efficiency) of -0.0701 which signifies that Avgol Industries 1953 had -0.0701% of return per unit of standard deviation 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. Avgol Industries 1953 Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Avgol Industries 1953 Mean Deviation of 1.22 and Risk Adjusted Performance of 0.0986 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Avgol Industries Market Sensitivity

As returns on market increase, Avgol Industries returns are expected to increase less than the market. However during bear market, the loss on holding Avgol Industries will be expected to be smaller as well.
One Month Beta |Analyze Avgol Industries 1953 Demand Trend
Check current 30 days Avgol Industries correlation with market (DOW)
β = 0.6387
Avgol Industries Small BetaAvgol Industries 1953 Beta Legend

Avgol Industries 1953 Technical Analysis

Transformation
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Avgol Industries Projected Return Density Against Market

Assuming 30 trading days horizon, Avgol Industries has beta of 0.6387 . This suggests as returns on market go up, Avgol Industries average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Avgol Industries 1953 Ltd will be expected to be much smaller as well. Moreover, Avgol Industries 1953 Ltd has an alpha of 0.2477 implying that it can potentially generate 0.2477% 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 Avgol Industries is -1427.03. The daily returns are destributed with a variance of 1.61 and standard deviation of 1.27. The mean deviation of Avgol Industries 1953 Ltd is currently at 0.92. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.25
β
Beta against DOW=0.64
σ
Overall volatility
=1.27
Ir
Information ratio =0.20

Avgol Industries Return Volatility

Avgol Industries 1953 Ltd accepts 1.2693% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Avgol Industries Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Avgol Industries Investment Opportunity

Avgol Industries 1953 Ltd has a volatility of 1.27 and is 1.2 times more volatile than DOW. 11% of all equities and portfolios are less risky than Avgol Industries. Compared to the overall equity markets, volatility of historical daily returns of Avgol Industries 1953 Ltd is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Avgol Industries 1953 Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Avgol Industries to be traded at S395.72 in 30 days. As returns on market increase, Avgol Industries returns are expected to increase less than the market. However during bear market, the loss on holding Avgol Industries will be expected to be smaller as well.

Avgol Industries correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Avgol Industries 1953 Ltd and equity matching DJI index in the same portfolio.

Avgol Industries Volatility Indicators

Avgol Industries 1953 Ltd Current Risk Indicators

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