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
Chance of Distress in 24 months
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 TrendCheck current 30 days Elbit Systems correlation with market (DOW)|
β = 0.0131
Elbit Systems Central Daily Price Deviation
Elbit Systems Technical Analysis
Elbit Systems Projected Return Density Against MarketAssuming 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
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
|Alpha over DOW||=||0.13|
|Beta against DOW||=||0.0131|
Elbit Systems Return Volatilitythe 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.
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
Elbit Systems Current Risk Indicators
|Risk Adjusted Performance||0.0725|
|Market Risk Adjusted Performance||10.03|
|Coefficient Of Variation||1042.69|
Elbit Systems Suggested Diversification Pairs