Elbit Medical (Israel) Risk Analysis And Volatility Evaluation

EMTC -- Israel Stock  

ILS 103.30  0.80  0.77%

We consider Elbit Medical not too risky. Elbit Medical Techno secures Sharpe Ratio (or Efficiency) of 0.0522 which denotes Elbit Medical Techno had 0.0522% of return per unit of standard deviation over the last 2 months. Our philosophy in 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 Elbit Medical Technologies Ltd which you can use to evaluate future volatility of the firm. Please confirm Elbit Medical Techno Semi Deviation of 1.12, Mean Deviation of 1.24 and Downside Deviation of 1.69 to check if risk estimate we provide are consistent with the epected return of 0.1286%.
Horizon     30 Days    Login   to change

Elbit Medical Market Sensitivity

As returns on market increase, Elbit Medical returns are expected to increase less than the market. However during bear market, the loss on holding Elbit Medical will be expected to be smaller as well.
2 Months Beta |Analyze Elbit Medical Techno Demand Trend
Check current 30 days Elbit Medical correlation with market (DOW)
β = 0.1655

Elbit Medical Central Daily Price Deviation

Elbit Medical Techno Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Elbit Medical Techno Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Elbit Medical Projected Return Density Against Market

Assuming 30 trading days horizon, Elbit Medical has beta of 0.1655 suggesting as returns on market go up, Elbit Medical average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Elbit Medical Technologies Ltd will be expected to be much smaller as well. Moreover, Elbit Medical Technologies Ltd has an alpha of 0.2286 implying that it can potentially generate 0.2286% 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 Elbit Medical is 1914.68. The daily returns are destributed with a variance of 6.06 and standard deviation of 2.46. The mean deviation of Elbit Medical Technologies Ltd is currently at 1.4. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.23
β
Beta against DOW=0.17
σ
Overall volatility
=2.46
Ir
Information ratio =0.16

Elbit Medical Return Volatility

Elbit Medical Technologies Ltd accepts 2.4624% volatility on return distribution over the 30 days horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Elbit Medical Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Elbit Medical Investment Opportunity

Elbit Medical Technologies Ltd has a volatility of 2.46 and is 1.85 times more volatile than DOW. 22% of all equities and portfolios are less risky than Elbit Medical. Compared to the overall equity markets, volatility of historical daily returns of Elbit Medical Technologies Ltd is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use Elbit Medical Technologies Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Elbit Medical to be traded at S101.23 in 30 days. As returns on market increase, Elbit Medical returns are expected to increase less than the market. However during bear market, the loss on holding Elbit Medical will be expected to be smaller as well.

Elbit Medical correlation with market

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

Elbit Medical Volatility Indicators

Elbit Medical Technologies Ltd Current Risk Indicators

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