COMPUGEN Volatility

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CGEN -- Israel Stock  

ILA 6,037  487.00  8.77%

COMPUGEN is very steady given 3 months investment horizon. COMPUGEN secures Sharpe Ratio (or Efficiency) of 0.174, which signifies that the organization had 0.174% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing the volatility of a stock is to use COMPUGEN market data together with company specific technical indicators. We found twenty-one different technical indicators, which can help you to evaluate if expected returns of 2.6% are justified by taking the suggested risk. Use COMPUGEN Mean Deviation of 7.05 and Risk Adjusted Performance of 0.7778 to evaluate company specific risk that cannot be diversified away.

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COMPUGEN Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of COMPUGEN daily returns, and it is calculated using variance and standard deviation. We also use COMPUGEN's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of COMPUGEN volatility.

90 Days Market Risk

Very steady

Chance of Distress

90 Days Economic Sensitivity

Barely shadows market

COMPUGEN Market Sensitivity

As returns on market increase, COMPUGEN returns are expected to increase less than the market. However, during bear market, the loss on holding COMPUGEN will be expected to be smaller as well.
3 Months Beta |Analyze COMPUGEN Demand Trend
Check current 30 days COMPUGEN correlation with market (DOW)
β = 0.0729

COMPUGEN Central Daily Price Deviation

COMPUGEN Technical Analysis

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COMPUGEN Projected Return Density Against Market

Assuming 30 trading days horizon, COMPUGEN has beta of 0.0729 . This suggests as returns on market go up, COMPUGEN average returns are expected to increase less than the benchmark. However during bear market, the loss on holding COMPUGEN will be expected to be much smaller as well. In addition to that, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to COMPUGEN or COMPUGEN sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that COMPUGEN stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a COMPUGEN stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 2.2503 implying that it can potentially generate 2.2503% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

COMPUGEN Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to COMPUGEN or COMPUGEN sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that COMPUGEN stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a COMPUGEN stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Assuming 30 trading days horizon, the coefficient of variation of COMPUGEN is 574.66. The daily returns are destributed with a variance of 223.74 and standard deviation of 14.96. The mean deviation of COMPUGEN is currently at 9.33. For similar time horizon, the selected benchmark (DOW) has volatility of 3.98
α
Alpha over DOW
=2.25
β
Beta against DOW=0.07
σ
Overall volatility
=14.96
Ir
Information ratio =0.18

COMPUGEN Return Volatility

the company accepts 14.9579% volatility on return distribution over the 30 days horizon. the entity inherits 3.8807% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About COMPUGEN Volatility

Volatility is a rate at which the price of COMPUGEN or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of COMPUGEN may increase or decrease. In other words, similar to COMPUGEN's beta indicator, it measures the risk of COMPUGEN and helps estimate the fluctuations that may happen in a short period of time. So if prices of COMPUGEN fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
Compugen Ltd., a therapeutic discovery company, engages in the research, development, and commercialization of therapeutic and product candidates in Israel, the United States, and Europe. The company was incorporated in 1993 and is headquartered in Holon, Israel. COMPUGEN operates under Biotechnology classification in Israel and is traded on Tel Aviv Stock Exchange. It employs 61 people.

COMPUGEN Investment Opportunity

COMPUGEN has a volatility of 14.96 and is 3.86 times more volatile than DOW. 96  of all equities and portfolios are less risky than COMPUGEN. Compared to the overall equity markets, volatility of historical daily returns of COMPUGEN is higher than 96 () of all global equities and portfolios over the last 30 days. Use COMPUGEN to enhance returns of your portfolios. The stock experiences very speculative upward sentiment. . Check odds of COMPUGEN to be traded at 7546.25 in 30 days. . As returns on market increase, COMPUGEN returns are expected to increase less than the market. However, during bear market, the loss on holding COMPUGEN will be expected to be smaller as well.

COMPUGEN correlation with market

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

COMPUGEN Additional Risk Indicators

The analysis of various secondary risk indicators of COMPUGEN is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in COMPUGEN investment, and either accepting that risk or mitigating it. Along with some common measures of COMPUGEN stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.7778
Market Risk Adjusted Performance30.97
Mean Deviation7.05
Semi Deviation7.8
Downside Deviation10.03
Coefficient Of Variation516.05
Standard Deviation11.7

COMPUGEN Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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