Nextcom Ltd (Israel) Risk Analysis And Volatility Evaluation

NXTM -- Israel Stock  

ILS 681.50  0.00  0.00%

Macroaxis considers Nextcom Ltd unknown risk given 1 month investment horizon. Nextcom Ltd has Sharpe Ratio of 0.3264 which conveys that Nextcom Ltd had 0.3264% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Nextcom Ltd which you can use to evaluate future volatility of the firm. Please exercise Nextcom Ltd Mean Deviation of 0.0081 and Risk Adjusted Performance of 0.29 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Nextcom Ltd Market Sensitivity

As returns on market increase, Nextcom Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Nextcom Ltd will be expected to be smaller as well.
One Month Beta |Analyze Nextcom Ltd Demand Trend
Check current 30 days Nextcom Ltd correlation with market (DOW)
β = 6.0E-4
Nextcom Ltd Small BetaNextcom Ltd Beta Legend

Nextcom Ltd Technical Analysis

Transformation
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Nextcom Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Nextcom Ltd has beta of 6.0E-4 indicating as returns on market go up, Nextcom Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Nextcom Ltd will be expected to be much smaller as well. Additionally, Nextcom 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 Nextcom Ltd is 306.33. The daily returns are destributed with a variance of 2.09 and standard deviation of 1.45. The mean deviation of Nextcom Ltd is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.0057
β
Beta against DOW=0.0006
σ
Overall volatility
=1.45
Ir
Information ratio =7.17

Nextcom Ltd Return Volatility

Nextcom Ltd accepts 1.4461% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Nextcom Ltd Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Nextcom Ltd Investment Opportunity

Nextcom Ltd has a volatility of 1.45 and is 1.38 times more volatile than DOW. 13% of all equities and portfolios are less risky than Nextcom Ltd. Compared to the overall equity markets, volatility of historical daily returns of Nextcom Ltd is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Nextcom Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Nextcom Ltd to be traded at S674.69 in 30 days. As returns on market increase, Nextcom Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Nextcom Ltd will be expected to be smaller as well.

Nextcom Ltd correlation with market

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

Nextcom Ltd Volatility Indicators

Nextcom Ltd Current Risk Indicators

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