Chiron Refineries (Israel) Risk Analysis And Volatility Evaluation

CHR -- Israel Stock  

ILS 40.20  0.70  1.77%

Macroaxis considers Chiron Refineries to be unknown risk. Chiron Refineries secures Sharpe Ratio (or Efficiency) of -0.3389 which signifies that Chiron Refineries had -0.3389% of return per unit of risk over the last 1 month. 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. Chiron Refineries Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chiron Refineries Risk Adjusted Performance of 0.028375 and Mean Deviation of 1.0 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Chiron Refineries Market Sensitivity

As returns on market increase, Chiron Refineries returns are expected to increase less than the market. However during bear market, the loss on holding Chiron Refineries will be expected to be smaller as well.
One Month Beta |Analyze Chiron Refineries Demand Trend
Check current 30 days Chiron Refineries correlation with market (DOW)
β = 0.4333
Chiron Refineries Small BetaChiron Refineries Beta Legend

Chiron Refineries Technical Analysis

Transformation
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Chiron Refineries Projected Return Density Against Market

Assuming 30 trading days horizon, Chiron Refineries has beta of 0.4333 . This suggests as returns on market go up, Chiron Refineries average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Chiron Refineries Ltd will be expected to be much smaller as well. Moreover, Chiron Refineries Ltd has an alpha of 0.0123 implying that it can potentially generate 0.0123% 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 Chiron Refineries is -295.09. The daily returns are destributed with a variance of 0.79 and standard deviation of 0.89. The mean deviation of Chiron Refineries Ltd is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.0123
β
Beta against DOW=0.43
σ
Overall volatility
=0.89
Ir
Information ratio =0.06

Chiron Refineries Return Volatility

Chiron Refineries Ltd assumes 0.8888% volatility of returns over the 30 days investment horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chiron Refineries Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Chiron Refineries Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.19 times more volatile than Chiron Refineries Ltd. 8% of all equities and portfolios are less risky than Chiron Refineries. Compared to the overall equity markets, volatility of historical daily returns of Chiron Refineries Ltd is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Chiron Refineries Ltd to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Chiron Refineries to be traded at S44.22 in 30 days. As returns on market increase, Chiron Refineries returns are expected to increase less than the market. However during bear market, the loss on holding Chiron Refineries will be expected to be smaller as well.

Chiron Refineries correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Chiron Refineries Ltd and equity matching DJI index in the same portfolio.

Chiron Refineries Volatility Indicators

Chiron Refineries Ltd Current Risk Indicators

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