BioTime (Israel) Risk Analysis And Volatility Evaluation

BTX -- Israel Stock  

ILS 469.80  13.90  2.87%

Macroaxis considers BioTime to be unknown risk. BioTime secures Sharpe Ratio (or Efficiency) of -0.3567 which signifies that BioTime had -0.3567% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. BioTime exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BioTime Risk Adjusted Performance of (0.35) and Mean Deviation of 3.27 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BioTime Market Sensitivity

As returns on market increase, BioTime returns are expected to increase less than the market. However during bear market, the loss on holding BioTime will be expected to be smaller as well.
2 Months Beta |Analyze BioTime Demand Trend
Check current 30 days BioTime correlation with market (DOW)
β = 0.3072

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 0.3072 . This suggests as returns on market go up, BioTime average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BioTime will be expected to be much smaller as well. Additionally, BioTime 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 BioTime is -280.37. The daily returns are destributed with a variance of 16.75 and standard deviation of 4.09. The mean deviation of BioTime is currently at 3.18. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=1.12
β
Beta against DOW=0.31
σ
Overall volatility
=4.09
Ir
Information ratio =0.25

BioTime Return Volatility

BioTime assumes 4.0921% volatility of returns over the 30 days investment horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BioTime Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

BioTime Investment Opportunity

BioTime has a volatility of 4.09 and is 3.15 times more volatile than DOW. 37% of all equities and portfolios are less risky than BioTime. Compared to the overall equity markets, volatility of historical daily returns of BioTime is lower than 37 (%) of all global equities and portfolios over the last 30 days. Use BioTime to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of BioTime to be traded at S451.01 in 30 days. As returns on market increase, BioTime returns are expected to increase less than the market. However during bear market, the loss on holding BioTime will be expected to be smaller as well.

BioTime correlation with market

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

BioTime Volatility Indicators

BioTime Current Risk Indicators

Check also Trending Equities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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