Elbit Systems (Israel) Volatility
| ESLT Stock | ILA 75,550 450.00 0.60% |
We consider Elbit Systems very steady. Elbit Systems secures Sharpe Ratio (or Efficiency) of 0.0058, which denotes the company had a 0.0058% return per unit of standard deviation over the last 3 months. We have found twenty-three technical indicators for Elbit Systems, which you can use to evaluate the volatility of the firm. Please confirm Elbit Systems' Coefficient Of Variation of (2,026), standard deviation of 1.4, and Mean Deviation of 1.08 to check if the risk estimate we provide is consistent with the expected return of 0.008%. Key indicators related to Elbit Systems' volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Elbit Systems Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Elbit daily returns, and it is calculated using variance and standard deviation. We also use Elbit's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Elbit Systems volatility.
Elbit |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Elbit Systems can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Elbit Systems at lower prices. For example, an investor can purchase Elbit stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Elbit Systems' stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Elbit Systems Market Sensitivity And Downside Risk
Elbit Systems' beta coefficient measures the volatility of Elbit stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Elbit stock's returns against your selected market. In other words, Elbit Systems's beta of 0.1 provides an investor with an approximation of how much risk Elbit Systems stock can potentially add to one of your existing portfolios. Elbit Systems exhibits very low volatility with skewness of 0.46 and kurtosis of 1.12. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Elbit Systems' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Elbit Systems' stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Elbit Systems Demand TrendCheck current 90 days Elbit Systems correlation with market (NYSE Composite)Elbit Beta |
Elbit standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.38 |
It is essential to understand the difference between upside risk (as represented by Elbit Systems's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Elbit Systems' daily returns or price. Since the actual investment returns on holding a position in elbit stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Elbit Systems.
Elbit Systems Stock Volatility Analysis
Volatility refers to the frequency at which Elbit Systems stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Elbit Systems' price changes. Investors will then calculate the volatility of Elbit Systems' stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Elbit Systems' volatility:
Historical Volatility
This type of stock volatility measures Elbit Systems' fluctuations based on previous trends. It's commonly used to predict Elbit Systems' future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Elbit Systems' current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Elbit Systems' to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. 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.
Elbit Systems Projected Return Density Against Market
Assuming the 90 days trading horizon Elbit Systems has a beta of 0.1011 suggesting as returns on the market go up, Elbit Systems average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Elbit Systems will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Elbit Systems or Aerospace & Defense sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Elbit Systems' price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Elbit stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Elbit Systems has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives an Elbit Systems Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Elbit Systems Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Elbit Systems is 17380.12. The daily returns are distributed with a variance of 1.92 and standard deviation of 1.38. The mean deviation of Elbit Systems is currently at 1.05. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.09 | |
β | Beta against NYSE Composite | 0.10 | |
σ | Overall volatility | 1.38 | |
Ir | Information ratio | -0.12 |
Elbit Systems Stock Return Volatility
Elbit Systems historical daily return volatility represents how much of Elbit Systems stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 1.384% volatility on return distribution over the 90 days horizon. By contrast, NYSE Composite accepts 0.633% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Elbit Systems Volatility
Volatility is a rate at which the price of Elbit Systems or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Elbit Systems may increase or decrease. In other words, similar to Elbit's beta indicator, it measures the risk of Elbit Systems and helps estimate the fluctuations that may happen in a short period of time. So if prices of Elbit Systems fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.Elbit Systems Ltd. develops and supplies a portfolio of airborne, land, and naval systems and products for defense, homeland security, and commercial aviation applications primarily in Israel. Elbit Systems Ltd. was incorporated in 1966 and is based in Haifa, Israel. ELBIT SYSTEMS operates under Aerospace Defense classification in Israel and is traded on Tel Aviv Stock Exchange. It employs 16676 people.
Elbit Systems' stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Elbit Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Elbit Systems' price varies over time.
3 ways to utilize Elbit Systems' volatility to invest better
Higher Elbit Systems' stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Elbit Systems stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Elbit Systems stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Elbit Systems investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Elbit Systems' stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Elbit Systems' stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Elbit Systems Investment Opportunity
Elbit Systems has a volatility of 1.38 and is 2.19 times more volatile than NYSE Composite. 12 percent of all equities and portfolios are less risky than Elbit Systems. You can use Elbit Systems to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Elbit Systems to be traded at 83105.0 in 90 days.Significant diversification
The correlation between Elbit Systems and NYA is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Elbit Systems and NYA in the same portfolio, assuming nothing else is changed.
Elbit Systems Additional Risk Indicators
The analysis of Elbit Systems' secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Elbit Systems' investment and either accepting that risk or mitigating it. Along with some common measures of Elbit Systems stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.03) | |||
| Market Risk Adjusted Performance | (0.77) | |||
| Mean Deviation | 1.08 | |||
| Coefficient Of Variation | (2,026) | |||
| Standard Deviation | 1.4 | |||
| Variance | 1.97 | |||
| Information Ratio | (0.12) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Elbit Systems Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Elbit Systems as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Elbit Systems' systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Elbit Systems' unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Elbit Systems.
When determining whether Elbit Systems is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Elbit Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Elbit Systems Stock. Highlighted below are key reports to facilitate an investment decision about Elbit Systems Stock: Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Elbit Systems. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in board of governors. For information on how to trade Elbit Stock refer to our How to Trade Elbit Stock guide.You can also try the Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
Complementary Tools for Elbit Stock analysis
When running Elbit Systems' price analysis, check to measure Elbit Systems' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Elbit Systems is operating at the current time. Most of Elbit Systems' value examination focuses on studying past and present price action to predict the probability of Elbit Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Elbit Systems' price. Additionally, you may evaluate how the addition of Elbit Systems to your portfolios can decrease your overall portfolio volatility.
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