ELBIT SYSTEMS (Israel) Risk Analysis And Volatility

ESLT -- Israel Stock  

ILS 55,100  200.00  0.36%

We consider ELBIT SYSTEMS very steady. ELBIT SYSTEMS LTD retains Efficiency (Sharpe Ratio) of 0.0553 which denotes the organization had 0.0553% of return per unit of risk over the last 3 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-seven technical indicators for ELBIT SYSTEMS which you can use to evaluate future volatility of the firm. Please confirm ELBIT SYSTEMS LTD Coefficient Of Variation of 2320.27, Market Risk Adjusted Performance of (19.92) and Downside Deviation of 2.36 to check if risk estimate we provide are consistent with the epected return of 0.0796%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

ELBIT SYSTEMS Market Sensitivity

As returns on market increase, returns on owning ELBIT SYSTEMS are expected to decrease at a much smaller rate. During bear market, ELBIT SYSTEMS is likely to outperform the market.
3 Months Beta |Analyze ELBIT SYSTEMS LTD Demand Trend
Check current 30 days ELBIT SYSTEMS correlation with market (DOW)
β = -0.0036

ELBIT SYSTEMS Central Daily Price Deviation

ELBIT SYSTEMS LTD Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. ELBIT SYSTEMS LTD 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 LTD has beta of -0.0036 suggesting as returns on benchmark increase, returns on holding ELBIT SYSTEMS are expected to decrease at a much smaller rate. During bear market, however, ELBIT SYSTEMS LTD is likely to outperform the market. Moreover, The company has an alpha of 0.0721 implying that it can potentially generate 0.0721% 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 1808.75. The daily returns are destributed with a variance of 2.07 and standard deviation of 1.44. The mean deviation of ELBIT SYSTEMS LTD is currently at 1.05. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.07
β
Beta against DOW=0.0036
σ
Overall volatility
=1.44
Ir
Information ratio =0.01

ELBIT SYSTEMS Return Volatility

the company accepts 1.4397% volatility on return distribution over the 30 days horizon. the entity inherits 0.7178% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

ELBIT SYSTEMS Investment Opportunity

ELBIT SYSTEMS LTD has a volatility of 1.44 and is 2.0 times more volatile than DOW. 12  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 12 () of all global equities and portfolios over the last 30 days.

ELBIT SYSTEMS Current Risk Indicators

ELBIT SYSTEMS Suggested Diversification Pairs

Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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