Polygon Real (Israel) Risk Analysis And Volatility Evaluation

POLY -- Israel Stock  

ILS 2,373  47.00  1.94%

Macroaxis considers Polygon Real to be unknown risk. Polygon Real Estate maintains Sharpe Ratio (i.e. Efficiency) of -0.1069 which implies Polygon Real Estate had -0.1069% of return per unit of risk over the last 1 month. 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. Polygon Real Estate exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Polygon Real Estate Coefficient Of Variation of 690.96 and Risk Adjusted Performance of 0.15 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Polygon Real Market Sensitivity

As returns on market increase, Polygon Real returns are expected to increase less than the market. However during bear market, the loss on holding Polygon Real will be expected to be smaller as well.
One Month Beta |Analyze Polygon Real Estate Demand Trend
Check current 30 days Polygon Real correlation with market (DOW)
β = 0.0995
Polygon Real Small BetaPolygon Real Estate Beta Legend

Polygon Real Estate Technical Analysis

Transformation
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Polygon Real Projected Return Density Against Market

Assuming 30 trading days horizon, Polygon Real has beta of 0.0995 . This implies as returns on market go up, Polygon Real average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Polygon Real Estate Ltd will be expected to be much smaller as well. Moreover, Polygon Real Estate Ltd has an alpha of 0.0912 implying that it can potentially generate 0.0912% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Polygon Real is -935.4. The daily returns are destributed with a variance of 0.93 and standard deviation of 0.96. The mean deviation of Polygon Real Estate Ltd is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.09
β
Beta against DOW=0.1
σ
Overall volatility
=0.96
Ir
Information ratio =0.23

Polygon Real Return Volatility

Polygon Real Estate Ltd accepts 0.9633% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Polygon Real Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Polygon Real Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.1 times more volatile than Polygon Real Estate Ltd. 8% of all equities and portfolios are less risky than Polygon Real. Compared to the overall equity markets, volatility of historical daily returns of Polygon Real Estate Ltd is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Polygon Real Estate Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Polygon Real to be traded at S2301.81 in 30 days. As returns on market increase, Polygon Real returns are expected to increase less than the market. However during bear market, the loss on holding Polygon Real will be expected to be smaller as well.

Polygon Real correlation with market

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

Polygon Real Volatility Indicators

Polygon Real Estate Ltd Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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