Solegreen Ltd (Israel) Risk Analysis And Volatility Evaluation

SLGN -- Israel Stock  

ILS 894.60  0.000024  0.00%

Macroaxis considers Solegreen Ltd not too risky given 2 months investment horizon. Solegreen Ltd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1265 which indicates Solegreen Ltd had 0.1265% of return per unit of risk over the last 2 months. 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 Solegreen Ltd which you can use to evaluate future volatility of the company. Please operate Solegreen Ltd Semi Deviation of 1.33, Coefficient Of Variation of 5085.6 and Risk Adjusted Performance of 0.029 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Solegreen Ltd Market Sensitivity

As returns on market increase, Solegreen Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Solegreen Ltd will be expected to be smaller as well.
2 Months Beta |Analyze Solegreen Ltd Demand Trend
Check current 30 days Solegreen Ltd correlation with market (DOW)
β = 0.0329

Solegreen Ltd Central Daily Price Deviation

Solegreen Ltd Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Solegreen Ltd 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 average price price transform indicator.

Solegreen Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Solegreen Ltd has beta of 0.0329 . This entails as returns on market go up, Solegreen Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Solegreen Ltd will be expected to be much smaller as well. Moreover, Solegreen Ltd has an alpha of 0.0289 implying that it can potentially generate 0.0289% 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 Solegreen Ltd is 790.78. The daily returns are destributed with a variance of 2.76 and standard deviation of 1.66. The mean deviation of Solegreen Ltd is currently at 1.12. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0289
β
Beta against DOW=0.0329
σ
Overall volatility
=1.66
Ir
Information ratio =0.11

Solegreen Ltd Return Volatility

Solegreen Ltd accepts 1.6606% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Solegreen Ltd Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Solegreen Ltd Investment Opportunity

Solegreen Ltd has a volatility of 1.66 and is 1.27 times more volatile than DOW. 15% of all equities and portfolios are less risky than Solegreen Ltd. Compared to the overall equity markets, volatility of historical daily returns of Solegreen Ltd is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Solegreen Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Solegreen Ltd to be traded at S939.33 in 30 days. As returns on market increase, Solegreen Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Solegreen Ltd will be expected to be smaller as well.

Solegreen Ltd correlation with market

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

Solegreen Ltd Volatility Indicators

Solegreen Ltd Current Risk Indicators

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