Delek Drilling (Israel) Risk Analysis And Volatility Evaluation

DEDR-L -- Israel Stock  

null 1,069  9.00  0.83%

Macroaxis considers Delek Drilling to be unknown risk. Delek Drilling secures Sharpe Ratio (or Efficiency) of -0.0284 which denotes Delek Drilling had -0.0284% of return per unit of risk over the last 2 months. Macroaxis philosophy towards predicting 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. Delek Drilling Limited Partnership exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Delek Drilling Coefficient Of Variation of 1514.18, Mean Deviation of 1.34 and Downside Deviation of 1.76 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Delek Drilling Market Sensitivity

As returns on market increase, returns on owning Delek Drilling are expected to decrease at a much smaller rate. During bear market, Delek Drilling is likely to outperform the market.
2 Months Beta |Analyze Delek Drilling Demand Trend
Check current 30 days Delek Drilling correlation with market (DOW)
β = -0.0824

Delek Drilling Central Daily Price Deviation

Delek Drilling Technical Analysis

Transformation
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Delek Drilling Projected Return Density Against Market

Assuming 30 trading days horizon, Delek Drilling Limited Partnership has beta of -0.0824 suggesting as returns on benchmark increase, returns on holding Delek Drilling are expected to decrease at a much smaller rate. During bear market, however, Delek Drilling Limited Partnership is likely to outperform the market. Moreover, Delek Drilling Limited Partnership has an alpha of 0.097 implying that it can potentially generate 0.097% 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 -3522.77. The daily returns are destributed with a variance of 2.66 and standard deviation of 1.63. The mean deviation of Delek Drilling Limited Partnership is currently at 1.12. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.1
β
Beta against DOW=0.08
σ
Overall volatility
=1.63
Ir
Information ratio =0.15

Delek Drilling Return Volatility

Delek Drilling Limited Partnership accepts 1.6319% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Delek Drilling Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Delek Drilling Investment Opportunity

Delek Drilling Limited Partnership has a volatility of 1.63 and is 1.24 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Delek Drilling Limited Partnership to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Delek Drilling to be traded at 1047.62 in 30 days. As returns on market increase, returns on owning Delek Drilling are expected to decrease at a much smaller rate. During bear market, Delek Drilling is likely to outperform the market.

Delek Drilling correlation with market

correlation synergy
Good 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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