Opko Health (Israel) Risk Analysis And Volatility Evaluation

OPK -- Israel Stock  

ILS 1,240  12.00  0.96%

Macroaxis considers Opko Health to be unknown risk. Opko Health maintains Sharpe Ratio (i.e. Efficiency) of -0.0158 which implies Opko Health had -0.0158% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Opko Health exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Opko Health Coefficient Of Variation of (884.97) and Risk Adjusted Performance of (0.15) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Opko Health Market Sensitivity

As returns on market increase, returns on owning Opko Health are expected to decrease at a much smaller rate. During bear market, Opko Health is likely to outperform the market.
2 Months Beta |Analyze Opko Health Demand Trend
Check current 30 days Opko Health correlation with market (DOW)
β = -0.8158

Opko Health Central Daily Price Deviation

Opko Health Technical Analysis

Transformation
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Opko Health Projected Return Density Against Market

Assuming 30 trading days horizon, Opko Health has beta of -0.8158 . This implies as returns on benchmark increase, returns on holding Opko Health are expected to decrease at a much smaller rate. During bear market, however, Opko Health is likely to outperform the market. Additionally, Opko Health 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 Opko Health is -6313.86. The daily returns are destributed with a variance of 29.09 and standard deviation of 5.39. The mean deviation of Opko Health is currently at 3.7. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.99
β
Beta against DOW=0.82
σ
Overall volatility
=5.39
Ir
Information ratio =0.09

Opko Health Return Volatility

Opko Health assumes 5.3936% volatility of returns over the 30 days investment horizon. DOW inherits 1.2898% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Opko Health Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Opko Health Investment Opportunity

Opko Health has a volatility of 5.39 and is 4.18 times more volatile than DOW. 48% of all equities and portfolios are less risky than Opko Health. Compared to the overall equity markets, volatility of historical daily returns of Opko Health is lower than 48 (%) of all global equities and portfolios over the last 30 days. Use Opko Health to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Opko Health to be traded at S1215.2 in 30 days. As returns on market increase, returns on owning Opko Health are expected to decrease at a much smaller rate. During bear market, Opko Health is likely to outperform the market.

Opko Health correlation with market

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

Opko Health Volatility Indicators

Opko Health Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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