Space Communication (Israel) Risk Analysis And Volatility Evaluation

SCC -- Israel Stock  

ILS 1,320  32.00  2.48%

Macroaxis considers Space Communication to be unknown risk. Space Communication owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0792 which indicates Space Communication had -0.0792% of return per unit of risk over the last 1 month. 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 Semi Deviation of 1.01, Coefficient Of Variation of 1149.48 and Risk Adjusted Performance of 0.0956 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Space Communication Market Sensitivity

As returns on market increase, returns on owning Space Communication are expected to decrease at a much smaller rate. During bear market, Space Communication is likely to outperform the market.
One Month Beta |Analyze Space Communication Demand Trend
Check current 30 days Space Communication correlation with market (DOW)
β = -0.2219
Space Communication Almost negative betaSpace Communication Beta Legend

Space Communication Technical Analysis

Transformation
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Space Communication Projected Return Density Against Market

Assuming 30 trading days horizon, Space Communication Ltd has beta of -0.2219 . This entails as returns on benchmark increase, returns on holding Space Communication are expected to decrease at a much smaller rate. During bear market, however, Space Communication Ltd is likely to outperform the market. Moreover, Space Communication Ltd has an alpha of 0.0561 implying that it can potentially generate 0.0561% 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 Space Communication is -1262.44. The daily returns are destributed with a variance of 1.83 and standard deviation of 1.35. The mean deviation of Space Communication Ltd is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.06
β
Beta against DOW=0.22
σ
Overall volatility
=1.35
Ir
Information ratio =0.22

Space Communication Return Volatility

Space Communication Ltd assumes 1.3523% volatility of returns over the 30 days investment horizon. DOW inherits 1.0373% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Space Communication Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Space Communication Investment Opportunity

Space Communication Ltd has a volatility of 1.35 and is 1.3 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 enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Space Communication to be traded at S1584.0 in 30 days. As returns on market increase, returns on owning Space Communication are expected to decrease at a much smaller rate. During bear market, Space Communication is likely to outperform the market.

Space Communication correlation with market

Good 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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