Elspec Engineering (Israel) Risk Analysis And Volatility Evaluation

ELSPC -- Israel Stock  

ILS 205.40  4.50  2.14%

We consider Elspec Engineering unknown risk. Elspec Engineering secures Sharpe Ratio (or Efficiency) of 0.0058 which denotes Elspec Engineering had 0.0058% 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 Elspec Engineering Ltd which you can use to evaluate future volatility of the firm. Please confirm Elspec Engineering Coefficient Of Variation of 1125.62, Mean Deviation of 2.97 and Downside Deviation of 4.66 to check if risk estimate we provide are consistent with the epected return of 0.0322%.
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.
One Month Beta |Analyze Elspec Engineering Demand Trend
Check current 30 days Elspec Engineering correlation with market (DOW)
β = 0.1591
Elspec Engineering Small BetaElspec Engineering Beta Legend

Elspec Engineering Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Elspec Engineering Projected Return Density Against Market

Assuming 30 trading days horizon, Elspec Engineering has beta of 0.1591 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. Moreover, Elspec Engineering Ltd has an alpha of 0.4014 implying that it can potentially generate 0.4014% 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 Elspec Engineering is 17144.99. The daily returns are destributed with a variance of 30.43 and standard deviation of 5.52. The mean deviation of Elspec Engineering Ltd is currently at 3.52. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.40
β
Beta against DOW=0.16
σ
Overall volatility
=5.52
Ir
Information ratio =0.11

Elspec Engineering Return Volatility

Elspec Engineering Ltd accepts 5.5164% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Elspec Engineering Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Elspec Engineering Investment Opportunity

Elspec Engineering Ltd has a volatility of 5.52 and is 5.16 times more volatile than DOW. 49% 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 49 (%) of all global equities and portfolios over the last 30 days. Use Elspec Engineering Ltd to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Elspec Engineering to be traded at S197.18 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Elspec Engineering Ltd and equity matching DJI index in the same portfolio.

Elspec Engineering Volatility Indicators

Elspec Engineering Ltd Current Risk Indicators

Additionally see Investing Opportunities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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