Ellomay Capital (Israel) Risk Analysis And Volatility Evaluation

ELLO -- Israel Stock  

ILS 3,192  0.00  0.00%

Macroaxis considers Ellomay Capital unknown risk given 2 months investment horizon. Ellomay Capital secures Sharpe Ratio (or Efficiency) of 0.7376 which denotes Ellomay Capital had 0.7376% of return per unit of risk over the last 2 months. 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. By reviewing Ellomay Capital technical indicators you can presently evaluate if the expected return of 0.558% is justified by implied risk. Please utilize Ellomay Capital Coefficient Of Variation of 2643.98, Mean Deviation of 0.5045 and Downside Deviation of 2.08 to check if our risk estimates are consistent with your expectations.
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 = -0.1651

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 -0.1651 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, Ellomay Capital Ltd has an alpha of 0.02 implying that it can potentially generate 0.02% 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 135.57. The daily returns are destributed with a variance of 0.57 and standard deviation of 0.76. The mean deviation of Ellomay Capital Ltd is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.02
β
Beta against DOW=0.17
σ
Overall volatility
=0.76
Ir
Information ratio =0.07

Ellomay Capital Return Volatility

Ellomay Capital Ltd accepts 0.7565% volatility on return distribution over the 30 days horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ellomay Capital Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Ellomay Capital Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 1.68 times more volatile than Ellomay Capital Ltd. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use Ellomay Capital 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 Ellomay Capital to be traded at S3160.08 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
Very 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 Volatility Indicators

Ellomay Capital Ltd Current Risk Indicators

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