Space Communication (Israel) Risk Analysis And Volatility Evaluation

SCC -- Israel Stock  

ILS 1,232  10.00  0.81%

Macroaxis considers Space Communication to be unknown risk. Space Communication owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.117 which indicates Space Communication had -0.117% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. Space Communication Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Space Communication Coefficient Of Variation of (646.54) and Risk Adjusted Performance of (0.20) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Space Communication Market Sensitivity

As returns on market increase, Space Communication returns are expected to increase less than the market. However during bear market, the loss on holding Space Communication will be expected to be smaller as well.
2 Months Beta |Analyze Space Communication Demand Trend
Check current 30 days Space Communication correlation with market (DOW)
β = 0.0485

Space Communication Central Daily Price Deviation

Space Communication Technical Analysis

Transformation
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Space Communication Projected Return Density Against Market

Assuming 30 trading days horizon, Space Communication has beta of 0.0485 . This entails as returns on market go up, Space Communication average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Space Communication Ltd will be expected to be much smaller as well. Additionally, Space Communication 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 Space Communication is -854.92. The daily returns are destributed with a variance of 1.84 and standard deviation of 1.36. The mean deviation of Space Communication Ltd is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.27
β
Beta against DOW=0.0485
σ
Overall volatility
=1.36
Ir
Information ratio =0.09

Space Communication Return Volatility

Space Communication Ltd assumes 1.3572% volatility of returns over the 30 days investment horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Space Communication Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Space Communication Investment Opportunity

Space Communication Ltd has a volatility of 1.36 and is 1.05 times more volatile than DOW. 12% of all equities and portfolios are less risky than Space Communication. Compared to the overall equity markets, volatility of historical daily returns of Space Communication Ltd is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Space Communication Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Space Communication to be traded at S1207.36 in 30 days. As returns on market increase, Space Communication returns are expected to increase less than the market. However during bear market, the loss on holding Space Communication will be expected to be smaller as well.

Space Communication correlation with market

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

Space Communication Volatility Indicators

Space Communication Ltd Current Risk Indicators

Also please take a look at World Market Map. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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