Elbit Imaging (Israel) Risk Analysis And Volatility Evaluation

EMITF -- Israel Stock  

ILS 672.00  26.00  3.72%

Macroaxis considers Elbit Imaging to be unknown risk. Elbit Imaging secures Sharpe Ratio (or Efficiency) of -0.262 which denotes Elbit Imaging had -0.262% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in 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. Elbit Imaging Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Elbit Imaging Mean Deviation of 2.15 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Elbit Imaging Market Sensitivity

As returns on market increase, returns on owning Elbit Imaging are expected to decrease at a much smaller rate. During bear market, Elbit Imaging is likely to outperform the market.
One Month Beta |Analyze Elbit Imaging Demand Trend
Check current 30 days Elbit Imaging correlation with market (DOW)
β = -0.6582
Elbit Imaging Almost negative betaElbit Imaging Beta Legend

Elbit Imaging Technical Analysis

Transformation
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Elbit Imaging Projected Return Density Against Market

Assuming 30 trading days horizon, Elbit Imaging Ltd has beta of -0.6582 suggesting as returns on benchmark increase, returns on holding Elbit Imaging are expected to decrease at a much smaller rate. During bear market, however, Elbit Imaging Ltd is likely to outperform the market. Additionally, Elbit Imaging 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 Elbit Imaging is -381.61. The daily returns are destributed with a variance of 14.09 and standard deviation of 3.75. The mean deviation of Elbit Imaging Ltd is currently at 2.83. For similar time horizon, the selected benchmark (DOW) has volatility of 1.15
α
Alpha over DOW
=0.55
β
Beta against DOW=0.66
σ
Overall volatility
=3.75
Ir
Information ratio =0.28

Elbit Imaging Return Volatility

Elbit Imaging Ltd accepts 3.7533% volatility on return distribution over the 30 days horizon. DOW inherits 1.2393% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Elbit Imaging Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Elbit Imaging Investment Opportunity

Elbit Imaging Ltd has a volatility of 3.75 and is 3.02 times more volatile than DOW. 33% of all equities and portfolios are less risky than Elbit Imaging. Compared to the overall equity markets, volatility of historical daily returns of Elbit Imaging Ltd is lower than 33 (%) of all global equities and portfolios over the last 30 days. Use Elbit Imaging Ltd to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Elbit Imaging to be traded at S645.12 in 30 days. As returns on market increase, returns on owning Elbit Imaging are expected to decrease at a much smaller rate. During bear market, Elbit Imaging is likely to outperform the market.

Elbit Imaging correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Elbit Imaging Ltd and equity matching DJI index in the same portfolio.

Elbit Imaging Volatility Indicators

Elbit Imaging Ltd Current Risk Indicators

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