Elbit Medical (Israel) Risk Analysis And Volatility Evaluation

EMTC -- Israel Stock  

ILS 106.00  0.00  0.00%

Macroaxis considers Elbit Medical unknown risk given 1 month investment horizon. Elbit Medical Techno secures Sharpe Ratio (or Efficiency) of 0.3418 which denotes Elbit Medical Techno had 0.3418% of return per unit of standard deviation over the last 1 month. 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. By reviewing Elbit Medical Techno technical indicators you can presently evaluate if the expected return of 0.5977% is justified by implied risk. Please utilize Elbit Medical Techno Mean Deviation of 0.379 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Elbit Medical Market Sensitivity

As returns on market increase, returns on owning Elbit Medical are expected to decrease at a much smaller rate. During bear market, Elbit Medical is likely to outperform the market.
One Month Beta |Analyze Elbit Medical Techno Demand Trend
Check current 30 days Elbit Medical correlation with market (DOW)
β = -0.1304
Elbit Medical Almost negative betaElbit Medical Techno Beta Legend

Elbit Medical Techno Technical Analysis

Transformation
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Elbit Medical Projected Return Density Against Market

Assuming 30 trading days horizon, Elbit Medical Technologies Ltd has beta of -0.1304 suggesting as returns on benchmark increase, returns on holding Elbit Medical are expected to decrease at a much smaller rate. During bear market, however, Elbit Medical Technologies Ltd is likely to outperform the market. Additionally, Elbit Medical Technologies 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 Medical is 292.6. The daily returns are destributed with a variance of 3.06 and standard deviation of 1.75. The mean deviation of Elbit Medical Technologies Ltd is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.26
β
Beta against DOW=0.13
σ
Overall volatility
=1.75
Ir
Information ratio =0.09

Elbit Medical Return Volatility

Elbit Medical Technologies Ltd accepts 1.7489% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Elbit Medical Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Elbit Medical Investment Opportunity

Elbit Medical Technologies Ltd has a volatility of 1.75 and is 1.68 times more volatile than DOW. 15% 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 15 (%) 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 normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Elbit Medical to be traded at S104.94 in 30 days. As returns on market increase, returns on owning Elbit Medical are expected to decrease at a much smaller rate. During bear market, Elbit Medical is likely to outperform the market.

Elbit Medical correlation with market

Good 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

Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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