Macroaxis considers Elspec Engineering to be unknown risk. Elspec Engineering secures Sharpe Ratio (or Efficiency) of -0.2581 which denotes Elspec Engineering had -0.2581% 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. Elspec Engineering Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Elspec Engineering Coefficient Of Variation of
(1,279) and Mean Deviation of 1.92 to check risk estimate we provide.
|Horizon||30 Days Login to change|
Elspec Engineering Market Sensitivity
|As returns on market increase, Elspec Engineering returns are expected to increase less than the market. However during bear market, the loss on holding Elspec Engineering will be expected to be smaller as well.2 Months Beta |Analyze Elspec Engineering Demand TrendCheck current 30 days Elspec Engineering correlation with market (DOW)|
β = 0.0787
Elspec Engineering Central Daily Price Deviation
Elspec Engineering Technical Analysis
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Elspec Engineering Projected Return Density Against MarketAssuming 30 trading days horizon, Elspec Engineering has beta of 0.0787 suggesting as returns on market go up, Elspec Engineering average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Elspec Engineering Ltd will be expected to be much smaller as well. Additionally, Elspec Engineering Ltd has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Elspec Engineering is -387.5. The daily returns are destributed with a variance of 4.85 and standard deviation of 2.2. The mean deviation of Elspec Engineering Ltd is currently at 1.48. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
|Alpha over DOW||=||0.27|
|Beta against DOW||=||0.08|
Elspec Engineering Return VolatilityElspec Engineering Ltd accepts 2.2015% volatility on return distribution over the 30 days horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
Elspec Engineering Ltd has a volatility of 2.2 and is 1.72 times more volatile than DOW. 19% of all equities and portfolios are less risky than Elspec Engineering. Compared to the overall equity markets, volatility of historical daily returns of Elspec Engineering Ltd is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Elspec Engineering Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Elspec Engineering to be traded at S181.65 in 30 days. As returns on market increase, Elspec Engineering returns are expected to increase less than the market. However during bear market, the loss on holding Elspec Engineering will be expected to be smaller as well.
Elspec Engineering correlation with market