Shagrir Group (Israel) Risk Analysis And Volatility Evaluation

SHGR -- Israel Stock  

ILS 1,407  16.00  1.12%

Macroaxis considers Shagrir Group to be not too risky. Shagrir Group Vehicle owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2409 which indicates Shagrir Group Vehicle had -0.2409% 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. Shagrir Group Vehicle Services Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Shagrir Group Coefficient Of Variation of (307.84) and Risk Adjusted Performance of (0.42) to confirm risk estimate we provide.
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.
2 Months Beta |Analyze Shagrir Group Vehicle Demand Trend
Check current 30 days Shagrir Group correlation with market (DOW)
β = 0.272

Shagrir Group Central Daily Price Deviation

Shagrir Group Vehicle Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Shagrir Group Vehicle Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about avgprice price transform indicator.

Shagrir Group Projected Return Density Against Market

Assuming 30 trading days horizon, Shagrir Group has beta of 0.272 . 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. Additionally, Shagrir Group Vehicle Services 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 Shagrir Group is -415.19. The daily returns are destributed with a variance of 3.33 and standard deviation of 1.82. The mean deviation of Shagrir Group Vehicle Services Ltd is currently at 1.2. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.53
β
Beta against DOW=0.27
σ
Overall volatility
=1.82
Ir
Information ratio =0.26

Shagrir Group Return Volatility

Shagrir Group Vehicle Services Ltd accepts 1.8242% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Shagrir Group Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Almost neglects market trends

Investment Outlook

Shagrir Group Investment Opportunity

Shagrir Group Vehicle Services Ltd has a volatility of 1.82 and is 1.41 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use Shagrir Group Vehicle Services Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Shagrir Group to be traded at S1364.79 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

correlation synergy
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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