Ellomay Capital (Israel) Risk Analysis And Volatility

ELLO -- Israel Stock  

ILS 3,270  18.00  0.55%

Ellomay Capital is unknown risk given 2 months investment horizon. Ellomay Capital secures Sharpe Ratio (or Efficiency) of 0.2481 which denotes the organization had 0.2481% of return per unit of risk over the last 2 months. Our philosophy towards predicting risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.2673% are justified by taking the suggested risk. Use Ellomay Capital Mean Deviation of 0.6932, Coefficient Of Variation of 2714.14 and Downside Deviation of 2.14 to evaluate company specific risk that cannot be diversified away.

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant
Horizon     30 Days    Login   to change

Ellomay Capital Market Sensitivity

As returns on market increase, returns on owning Ellomay Capital are expected to decrease at a much smaller rate. During bear market, Ellomay Capital is likely to outperform the market.
2 Months Beta |Analyze Ellomay Capital Demand Trend
Check current 30 days Ellomay Capital correlation with market (DOW)
β = -0.1164

Ellomay Capital Central Daily Price Deviation

Ellomay Capital Technical Analysis

Transformation
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Ellomay Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Ellomay Capital Ltd has beta of -0.1164 suggesting as returns on benchmark increase, returns on holding Ellomay Capital are expected to decrease at a much smaller rate. During bear market, however, Ellomay Capital Ltd is likely to outperform the market. Moreover, The company has an alpha of 0.0507 implying that it can potentially generate 0.0507% 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 Ellomay Capital is 403.13. The daily returns are destributed with a variance of 26.1 and standard deviation of 5.11. The mean deviation of Ellomay Capital Ltd is currently at 3.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.65
α
Alpha over DOW
=0.05
β
Beta against DOW=0.12
σ
Overall volatility
=5.11
Ir
Information ratio =0.03

Ellomay Capital Return Volatility

the company accepts 5.109% volatility on return distribution over the 30 days horizon. the entity inherits 0.5827% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Ellomay Capital Investment Opportunity

Ellomay Capital Ltd has a volatility of 5.11 and is 8.81 times more volatile than DOW. 45% of all equities and portfolios are less risky than Ellomay Capital. Compared to the overall equity markets, volatility of historical daily returns of Ellomay Capital Ltd is lower than 45 (%) of all global equities and portfolios over the last 30 days. Use Ellomay Capital Ltd to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Ellomay Capital to be traded at S3204.6 in 30 days. . As returns on market increase, returns on owning Ellomay Capital are expected to decrease at a much smaller rate. During bear market, Ellomay Capital is likely to outperform the market.

Ellomay Capital correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Ellomay Capital Ltd and equity matching DJI index in the same portfolio.

Ellomay Capital Current Risk Indicators

Ellomay Capital Suggested Diversification Pairs

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