Delek Energy (Israel) Risk Analysis And Volatility Evaluation

DLEN -- Israel Stock  

ILS 175,900  0.00  0.00%

Macroaxis considers Delek Energy not too risky given 1 month investment horizon. Delek Energy Systems secures Sharpe Ratio (or Efficiency) of 0.19 which denotes Delek Energy Systems had 0.19% 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 Energy Systems Ltd which you can use to evaluate future volatility of the firm. Please utilize Delek Energy Systems Coefficient Of Variation of 293.57 and Mean Deviation of 1.91 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Delek Energy Market Sensitivity

As returns on market increase, returns on owning Delek Energy are expected to decrease at a much smaller rate. During bear market, Delek Energy is likely to outperform the market.
One Month Beta |Analyze Delek Energy Systems Demand Trend
Check current 30 days Delek Energy correlation with market (DOW)
β = -0.0196
Delek Energy Almost negative betaDelek Energy Systems Beta Legend

Delek Energy Systems Technical Analysis

Transformation
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Delek Energy Projected Return Density Against Market

Assuming 30 trading days horizon, Delek Energy Systems Ltd has beta of -0.0196 suggesting as returns on benchmark increase, returns on holding Delek Energy are expected to decrease at a much smaller rate. During bear market, however, Delek Energy Systems Ltd is likely to outperform the market. In addition to that, Delek Energy Systems Ltd has an alpha of 1.1944 implying that it can potentially generate 1.1944% 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 Energy is 526.27. The daily returns are destributed with a variance of 1.53 and standard deviation of 1.24. The mean deviation of Delek Energy Systems Ltd is currently at 0.67. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=1.19
β
Beta against DOW=0.02
σ
Overall volatility
=1.24
Ir
Information ratio =0.39

Delek Energy Return Volatility

Delek Energy Systems Ltd accepts 1.2357% volatility on return distribution over the 30 days horizon. DOW inherits 1.088% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Delek Energy Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost neglects market trends

Investment Outlook

Delek Energy Investment Opportunity

Delek Energy Systems Ltd has a volatility of 1.24 and is 1.14 times more volatile than DOW. 11% of all equities and portfolios are less risky than Delek Energy. Compared to the overall equity markets, volatility of historical daily returns of Delek Energy Systems Ltd is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Delek Energy Systems Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Delek Energy to be traded at S174141.0 in 30 days. As returns on market increase, returns on owning Delek Energy are expected to decrease at a much smaller rate. During bear market, Delek Energy is likely to outperform the market.

Delek Energy correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Delek Energy Systems Ltd and equity matching DJI index in the same portfolio.

Delek Energy Volatility Indicators

Delek Energy Systems Ltd Current Risk Indicators

Additionally see Investing Opportunities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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