Delek Drilling (Israel) Risk Analysis And Volatility Evaluation

DEDR-L -- Israel Stock  

null 1,077  5.00  0.47%

Macroaxis considers Delek Drilling unknown risk given 1 month investment horizon. Delek Drilling Limited secures Sharpe Ratio (or Efficiency) of 0.0985 which denotes Delek Drilling Limited had 0.0985% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Delek Drilling Limited Partnership which you can use to evaluate future volatility of the firm. Please utilize Delek Drilling Limited Coefficient Of Variation of 523.69, Mean Deviation of 1.48 and Downside Deviation of 1.86 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Delek Drilling Market Sensitivity

As returns on market increase, Delek Drilling returns are expected to increase less than the market. However during bear market, the loss on holding Delek Drilling will be expected to be smaller as well.
One Month Beta |Analyze Delek Drilling Limited Demand Trend
Check current 30 days Delek Drilling correlation with market (DOW)
β = 0.5321
Delek Drilling Small BetaDelek Drilling Limited Beta Legend

Delek Drilling Limited Technical Analysis

Transformation
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Delek Drilling Projected Return Density Against Market

Assuming 30 trading days horizon, Delek Drilling has beta of 0.5321 suggesting as returns on market go up, Delek Drilling average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Delek Drilling Limited Partnership will be expected to be much smaller as well. Moreover, Delek Drilling Limited Partnership has an alpha of 0.4511 implying that it can potentially generate 0.4511% 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 Delek Drilling is 1015.16. The daily returns are destributed with a variance of 4.53 and standard deviation of 2.13. The mean deviation of Delek Drilling Limited Partnership is currently at 1.6. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.45
β
Beta against DOW=0.53
σ
Overall volatility
=2.13
Ir
Information ratio =0.28

Delek Drilling Return Volatility

Delek Drilling Limited Partnership accepts 2.1295% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Delek Drilling Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Delek Drilling Investment Opportunity

Delek Drilling Limited Partnership has a volatility of 2.13 and is 2.01 times more volatile than DOW. 19% of all equities and portfolios are less risky than Delek Drilling. Compared to the overall equity markets, volatility of historical daily returns of Delek Drilling Limited Partnership is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Delek Drilling Limited Partnership to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Delek Drilling to be traded at 1130.85 in 30 days. As returns on market increase, Delek Drilling returns are expected to increase less than the market. However during bear market, the loss on holding Delek Drilling will be expected to be smaller as well.

Delek Drilling correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Delek Drilling Limited Partner and equity matching DJI index in the same portfolio.

Delek Drilling Volatility Indicators

Delek Drilling Limited Partnership Current Risk Indicators

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