Elspec Engineering (Israel) Risk Analysis And Volatility Evaluation

ELSPC -- Israel Stock  

ILS 173.00  0.50  0.29%

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 Trend
Check current 30 days Elspec Engineering correlation with market (DOW)
β = 0.0787

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 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 
      Returns 
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
α
Alpha over DOW
=0.27
β
Beta against DOW=0.08
σ
Overall volatility
=2.20
Ir
Information ratio =0.07

Elspec Engineering Return Volatility

Elspec 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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Elspec Engineering Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Elspec Engineering Investment Opportunity

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

correlation synergy
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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