BioTime (Israel) Risk Analysis And Volatility

BTX -- Israel Stock  

ILS 464.40  12.70  2.81%

Macroaxis considers BioTime unknown risk given 2 months investment horizon. BioTime secures Sharpe Ratio (or Efficiency) of 0.108 which signifies that the organization had 0.108% 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. By analyzing BioTime technical indicators you can presently evaluate if the expected return of 0.6442% is justified by implied risk. Please makes use of BioTime Risk Adjusted Performance of 0.0836, Mean Deviation of 5.05 and Downside Deviation of 5.73 to double-check if our risk estimates are consistent with your expectations.

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant
Horizon     30 Days    Login   to change

BioTime Market Sensitivity

As returns on market increase, returns on owning BioTime are expected to decrease at a much smaller rate. During bear market, BioTime is likely to outperform the market.
2 Months Beta |Analyze BioTime Demand Trend
Check current 30 days BioTime correlation with market (DOW)
β = -0.0676

BioTime Central Daily Price Deviation

BioTime Technical Analysis

Transformation
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BioTime Projected Return Density Against Market

Assuming 30 trading days horizon, BioTime has beta of -0.0676 . This suggests as returns on benchmark increase, returns on holding BioTime are expected to decrease at a much smaller rate. During bear market, however, BioTime is likely to outperform the market. In addition to that, The company has an alpha of 1.128 implying that it can potentially generate 1.128% 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 BioTime is 926.11. The daily returns are destributed with a variance of 35.6 and standard deviation of 5.97. The mean deviation of BioTime is currently at 3.12. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
=1.13
β
Beta against DOW=0.07
σ
Overall volatility
=5.97
Ir
Information ratio =0.10

BioTime Return Volatility

the company assumes 5.9664% volatility of returns over the 30 days investment horizon. the entity inherits 0.5829% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

BioTime Investment Opportunity

BioTime has a volatility of 5.97 and is 10.29 times more volatile than DOW. 53% of all equities and portfolios are less risky than BioTime. Compared to the overall equity markets, volatility of historical daily returns of BioTime is higher than 53 (%) of all global equities and portfolios over the last 30 days.

BioTime Current Risk Indicators

BioTime Suggested Diversification Pairs

Check also Trending Equities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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