Equital Ltd (Israel) Risk Analysis And Volatility Evaluation

EQTL -- Israel Stock  

ILS 9,625  100.00  1.05%

We consider Equital Ltd unknown risk. Equital Ltd secures Sharpe Ratio (or Efficiency) of 0.1097 which denotes Equital Ltd had 0.1097% of return per unit of risk over the last 1 month. 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. We have found twenty-one technical indicators for Equital Ltd which you can use to evaluate future volatility of the firm. Please confirm Equital Ltd Coefficient Of Variation of 458.76, Mean Deviation of 0.7328 and Downside Deviation of 1.16 to check if risk estimate we provide are consistent with the epected return of 0.0922%.
Horizon     30 Days    Login   to change

Equital Ltd Market Sensitivity

As returns on market increase, Equital Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Equital Ltd will be expected to be smaller as well.
One Month Beta |Analyze Equital Ltd Demand Trend
Check current 30 days Equital Ltd correlation with market (DOW)
β = 0.1159
Equital Ltd Small BetaEquital Ltd Beta Legend

Equital Ltd Technical Analysis

Transformation
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Equital Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Equital Ltd has beta of 0.1159 suggesting as returns on market go up, Equital Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Equital Ltd will be expected to be much smaller as well. Moreover, Equital Ltd has an alpha of 0.2078 implying that it can potentially generate 0.2078% 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 Equital Ltd is 911.26. The daily returns are destributed with a variance of 0.71 and standard deviation of 0.84. The mean deviation of Equital Ltd is currently at 0.58. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.21
β
Beta against DOW=0.12
σ
Overall volatility
=0.84
Ir
Information ratio =0.27

Equital Ltd Return Volatility

Equital Ltd accepts 0.8401% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Equital Ltd Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Equital Ltd Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.26 times more volatile than Equital Ltd. 7% of all equities and portfolios are less risky than Equital Ltd. Compared to the overall equity markets, volatility of historical daily returns of Equital Ltd is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Equital Ltd to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Equital Ltd to be traded at S10587.5 in 30 days. As returns on market increase, Equital Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Equital Ltd will be expected to be smaller as well.

Equital Ltd correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Equital Ltd and equity matching DJI index in the same portfolio.

Equital Ltd Volatility Indicators

Equital Ltd Current Risk Indicators

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