Elbit Systems (Israel) Risk Analysis And Volatility

ESLT -- Israel Stock  

ILS 50,990  1,000.00  2.00%

Macroaxis considers Elbit Systems very steady given 2 months investment horizon. Elbit Systems secures Sharpe Ratio (or Efficiency) of 0.2358 which denotes the organization had 0.2358% 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 Systems Ltd which you can use to evaluate future volatility of the firm. Please utilize Elbit Systems Mean Deviation of 1.06, Downside Deviation of 1.33 and Semi Deviation of 1.03 to check if our risk estimates are consistent with your expectations.

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Barely shadows market
Horizon     30 Days    Login   to change

Elbit Systems Market Sensitivity

As returns on market increase, Elbit Systems returns are expected to increase less than the market. However during bear market, the loss on holding Elbit Systems will be expected to be smaller as well.
2 Months Beta |Analyze Elbit Systems Demand Trend
Check current 30 days Elbit Systems correlation with market (DOW)
β = 0.0131

Elbit Systems Central Daily Price Deviation

Elbit Systems Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Elbit Systems 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 Systems Projected Return Density Against Market

Assuming 30 trading days horizon, Elbit Systems has beta of 0.0131 suggesting as returns on market go up, Elbit Systems average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Elbit Systems Ltd will be expected to be much smaller as well. Moreover, The company has an alpha of 0.1313 implying that it can potentially generate 0.1313% 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 Systems is 424.12. The daily returns are destributed with a variance of 2.34 and standard deviation of 1.53. The mean deviation of Elbit Systems Ltd is currently at 1.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.7
α
Alpha over DOW
=0.13
β
Beta against DOW=0.0131
σ
Overall volatility
=1.53
Ir
Information ratio =0.09

Elbit Systems Return Volatility

the company accepts 1.5306% volatility on return distribution over the 30 days horizon. the entity inherits 0.6518% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Elbit Systems Investment Opportunity

Elbit Systems Ltd has a volatility of 1.53 and is 2.35 times more volatile than DOW. 13% of all equities and portfolios are less risky than Elbit Systems. Compared to the overall equity markets, volatility of historical daily returns of Elbit Systems Ltd is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Elbit Systems Ltd to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Elbit Systems to be traded at S61188.0 in 30 days. . As returns on market increase, Elbit Systems returns are expected to increase less than the market. However during bear market, the loss on holding Elbit Systems will be expected to be smaller as well.

Elbit Systems correlation with market

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

Elbit Systems Current Risk Indicators

Elbit Systems Suggested Diversification Pairs

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