Brainsway Ltd (Israel) Risk Analysis And Volatility Evaluation

BRIN -- Israel Stock  

ILS 2,347  2.00  0.09%

Macroaxis considers Brainsway Ltd to be unknown risk. Brainsway Ltd secures Sharpe Ratio (or Efficiency) of -0.0294 which signifies that Brainsway Ltd had -0.0294% of return per unit of standard deviation over the last 2 months. 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. Brainsway Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Brainsway Ltd Mean Deviation of 2.65 and Risk Adjusted Performance of 0.1608 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Brainsway Ltd Market Sensitivity

As returns on market increase, Brainsway Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Brainsway Ltd will be expected to be smaller as well.
2 Months Beta |Analyze Brainsway Ltd Demand Trend
Check current 30 days Brainsway Ltd correlation with market (DOW)
β = 0.1265

Brainsway Ltd Central Daily Price Deviation

Brainsway Ltd Technical Analysis

Transformation
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Brainsway Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Brainsway Ltd has beta of 0.1265 . This suggests as returns on market go up, Brainsway Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brainsway Ltd will be expected to be much smaller as well. Moreover, Brainsway Ltd has an alpha of 0.462 implying that it can potentially generate 0.462% 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 Brainsway Ltd is -3404.01. The daily returns are destributed with a variance of 7.87 and standard deviation of 2.8. The mean deviation of Brainsway Ltd is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.46
β
Beta against DOW=0.13
σ
Overall volatility
=2.80
Ir
Information ratio =0.13

Brainsway Ltd Return Volatility

Brainsway Ltd accepts 2.8047% volatility on return distribution over the 30 days horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brainsway Ltd Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Brainsway Ltd Investment Opportunity

Brainsway Ltd has a volatility of 2.8 and is 2.19 times more volatile than DOW. 25% of all equities and portfolios are less risky than Brainsway Ltd. Compared to the overall equity markets, volatility of historical daily returns of Brainsway Ltd is lower than 25 (%) of all global equities and portfolios over the last 30 days. Use Brainsway Ltd to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Brainsway Ltd to be traded at S2323.53 in 30 days. As returns on market increase, Brainsway Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Brainsway Ltd will be expected to be smaller as well.

Brainsway Ltd correlation with market

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

Brainsway Ltd Volatility Indicators

Brainsway Ltd Current Risk Indicators

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