Elspec Engineering (Israel) Risk Analysis And Volatility

ELSPC -- Israel Stock  

ILS 228.50  0.50  0.22%

Macroaxis considers Elspec Engineering unknown risk given 2 months investment horizon. Elspec Engineering secures Sharpe Ratio (or Efficiency) of 0.1485 which denotes the organization had 0.1485% 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 Elspec Engineering technical indicators you can presently evaluate if the expected return of 0.865% is justified by implied risk. Please utilize Elspec Engineering Mean Deviation of 3.5, Coefficient Of Variation of 679.1 and Downside Deviation of 6.41 to check if our risk estimates are consistent with your expectations.

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

Elspec Engineering Market Sensitivity

As returns on market increase, returns on owning Elspec Engineering are expected to decrease by larger amounts. On the other hand, during market turmoil, Elspec Engineering is expected to significantly outperform it.
2 Months Beta |Analyze Elspec Engineering Demand Trend
Check current 30 days Elspec Engineering correlation with market (DOW)
β = -1.2001

Elspec Engineering Central Daily Price Deviation

Elspec Engineering Technical Analysis

Transformation
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Elspec Engineering Projected Return Density Against Market

Assuming 30 trading days horizon, Elspec Engineering Ltd has beta of -1.2001 suggesting as returns on its benchmark rise, returns on holding Elspec Engineering Ltd are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Elspec Engineering is expected to outperform its benchmark. Moreover, The company has an alpha of 0.8575 implying that it can potentially generate 0.8575% 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 673.41. The daily returns are destributed with a variance of 33.93 and standard deviation of 5.83. The mean deviation of Elspec Engineering Ltd is currently at 3.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.65
α
Alpha over DOW
=0.86
β
Beta against DOW=1.2
σ
Overall volatility
=5.83
Ir
Information ratio =0.13

Elspec Engineering Return Volatility

the firm accepts 5.8251% 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 

Elspec Engineering Investment Opportunity

Elspec Engineering Ltd has a volatility of 5.83 and is 10.05 times more volatile than DOW. 52% 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 higher than 52 (%) of all global equities and portfolios over the last 30 days. Use Elspec Engineering Ltd to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Elspec Engineering to be traded at S226.22 in 30 days. . As returns on market increase, returns on owning Elspec Engineering are expected to decrease by larger amounts. On the other hand, during market turmoil, Elspec Engineering is expected to significantly outperform it.

Elspec Engineering correlation with market

correlation synergy
Good 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 Current Risk Indicators

Elspec Engineering Suggested Diversification Pairs

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