Exalenz Bioscience (Israel) Risk Analysis And Volatility Evaluation

EXEN -- Israel Stock  

ILS 792.30  18.50  2.28%

Macroaxis considers Exalenz Bioscience to be unknown risk. Exalenz Bioscience secures Sharpe Ratio (or Efficiency) of -0.1246 which denotes Exalenz Bioscience had -0.1246% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Exalenz Bioscience Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Exalenz Bioscience Mean Deviation of 2.69 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Exalenz Bioscience Market Sensitivity

As returns on market increase, returns on owning Exalenz Bioscience are expected to decrease at a much smaller rate. During bear market, Exalenz Bioscience is likely to outperform the market.
2 Months Beta |Analyze Exalenz Bioscience Demand Trend
Check current 30 days Exalenz Bioscience correlation with market (DOW)
β = -0.3266

Exalenz Bioscience Central Daily Price Deviation

Exalenz Bioscience Technical Analysis

Transformation
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Exalenz Bioscience Projected Return Density Against Market

Assuming 30 trading days horizon, Exalenz Bioscience Ltd has beta of -0.3266 suggesting as returns on benchmark increase, returns on holding Exalenz Bioscience are expected to decrease at a much smaller rate. During bear market, however, Exalenz Bioscience Ltd is likely to outperform the market. Additionally, Exalenz Bioscience Ltd has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Exalenz Bioscience is -802.51. The daily returns are destributed with a variance of 51.98 and standard deviation of 7.21. The mean deviation of Exalenz Bioscience Ltd is currently at 4.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.87
β
Beta against DOW=0.33
σ
Overall volatility
=7.21
Ir
Information ratio =0.14

Exalenz Bioscience Return Volatility

Exalenz Bioscience Ltd accepts 7.2096% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Exalenz Bioscience Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Exalenz Bioscience Investment Opportunity

Exalenz Bioscience Ltd has a volatility of 7.21 and is 5.59 times more volatile than DOW. 65% of all equities and portfolios are less risky than Exalenz Bioscience. Compared to the overall equity markets, volatility of historical daily returns of Exalenz Bioscience Ltd is higher than 65 (%) of all global equities and portfolios over the last 30 days. Use Exalenz Bioscience Ltd to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Exalenz Bioscience to be traded at S760.61 in 30 days. As returns on market increase, returns on owning Exalenz Bioscience are expected to decrease at a much smaller rate. During bear market, Exalenz Bioscience is likely to outperform the market.

Exalenz Bioscience correlation with market

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

Exalenz Bioscience Volatility Indicators

Exalenz Bioscience Ltd Current Risk Indicators

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