Shagrir Group (Israel) Risk Analysis And Volatility Evaluation

SHGR -- Israel Stock  

ILS 1,762  11.00  0.63%

Macroaxis considers Shagrir Group unknown risk given 1 month investment horizon. Shagrir Group Vehicle owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2128 which indicates Shagrir Group Vehicle had 0.2128% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Shagrir Group Vehicle Services Ltd which you can use to evaluate future volatility of the company. Please operate Shagrir Group Coefficient Of Variation of 406.17 and Risk Adjusted Performance of 0.2678 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Shagrir Group Market Sensitivity

As returns on market increase, Shagrir Group returns are expected to increase less than the market. However during bear market, the loss on holding Shagrir Group will be expected to be smaller as well.
One Month Beta |Analyze Shagrir Group Vehicle Demand Trend
Check current 30 days Shagrir Group correlation with market (DOW)
β = 0.2446
Shagrir Group Small BetaShagrir Group Vehicle Beta Legend

Shagrir Group Vehicle Technical Analysis

Transformation
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Shagrir Group Projected Return Density Against Market

Assuming 30 trading days horizon, Shagrir Group has beta of 0.2446 . This entails as returns on market go up, Shagrir Group average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Shagrir Group Vehicle Services Ltd will be expected to be much smaller as well. Moreover, Shagrir Group Vehicle Services Ltd has an alpha of 0.298 implying that it can potentially generate 0.298% 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 Shagrir Group is 470.01. The daily returns are destributed with a variance of 3.53 and standard deviation of 1.88. The mean deviation of Shagrir Group Vehicle Services Ltd is currently at 1.19. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.30
β
Beta against DOW=0.24
σ
Overall volatility
=1.88
Ir
Information ratio =0.40

Shagrir Group Return Volatility

Shagrir Group Vehicle Services Ltd accepts 1.8787% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Shagrir Group Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Shagrir Group Investment Opportunity

Shagrir Group Vehicle Services Ltd has a volatility of 1.88 and is 1.77 times more volatile than DOW. 17% of all equities and portfolios are less risky than Shagrir Group. Compared to the overall equity markets, volatility of historical daily returns of Shagrir Group Vehicle Services Ltd is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Shagrir Group Vehicle Services Ltd to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Shagrir Group to be traded at S1938.2 in 30 days. As returns on market increase, Shagrir Group returns are expected to increase less than the market. However during bear market, the loss on holding Shagrir Group will be expected to be smaller as well.

Shagrir Group correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Shagrir Group Vehicle Services and equity matching DJI index in the same portfolio.

Shagrir Group Volatility Indicators

Shagrir Group Vehicle Services Ltd Current Risk Indicators

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