Chiron Refineries (Israel) Risk Analysis And Volatility Evaluation

CHR -- Israel Stock  

ILS 23.10  0.80  3.35%

Macroaxis considers Chiron Refineries to be relatively risky. Chiron Refineries secures Sharpe Ratio (or Efficiency) of -0.1918 which signifies that Chiron Refineries had -0.1918% 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. 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 (0.18) and Mean Deviation of 3.74 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.
2 Months Beta |Analyze Chiron Refineries Demand Trend
Check current 30 days Chiron Refineries correlation with market (DOW)
β = 0.0077

Chiron Refineries Central Daily Price Deviation

Chiron Refineries Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Chiron Refineries Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Chiron Refineries Projected Return Density Against Market

Assuming 30 trading days horizon, Chiron Refineries has beta of 0.0077 . 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. Additionally, Chiron Refineries Ltd 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 Chiron Refineries is -521.39. The daily returns are destributed with a variance of 73.54 and standard deviation of 8.58. The mean deviation of Chiron Refineries Ltd is currently at 4.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.99
β
Beta against DOW=0.0077
σ
Overall volatility
=8.58
Ir
Information ratio =0.11

Chiron Refineries Return Volatility

Chiron Refineries Ltd assumes 8.5758% volatility of returns over the 30 days investment horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chiron Refineries Volatility Factors

60 Days Market Risk

Relatively risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Chiron Refineries Investment Opportunity

Chiron Refineries Ltd has a volatility of 8.58 and is 6.55 times more volatile than DOW. 77% 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 higher than 77 (%) of all global equities and portfolios over the last 30 days.

Chiron Refineries Volatility Indicators

Chiron Refineries Ltd Current Risk Indicators

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