Solegreen Ltd (Israel) Risk Analysis And Volatility Evaluation

SLGN -- Israel Stock  

ILS 831.40  10.60  1.26%

We consider Solegreen Ltd unknown risk. Solegreen Ltd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0379 which indicates Solegreen Ltd had 0.0379% 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 Solegreen Ltd which you can use to evaluate future volatility of the company. Please validate Solegreen Ltd Semi Deviation of 1.44, Coefficient Of Variation of 902.13 and Risk Adjusted Performance of 0.1212 to confirm if risk estimate we provide are consistent with the epected return of 0.051%.
Horizon     30 Days    Login   to change

Solegreen Ltd Market Sensitivity

As returns on market increase, returns on owning Solegreen Ltd are expected to decrease at a much smaller rate. During bear market, Solegreen Ltd is likely to outperform the market.
One Month Beta |Analyze Solegreen Ltd Demand Trend
Check current 30 days Solegreen Ltd correlation with market (DOW)
β = -0.3302
Solegreen Ltd Almost negative betaSolegreen Ltd Beta Legend

Solegreen Ltd Technical Analysis

Transformation
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Solegreen Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Solegreen Ltd has beta of -0.3302 . This entails as returns on benchmark increase, returns on holding Solegreen Ltd are expected to decrease at a much smaller rate. During bear market, however, Solegreen Ltd is likely to outperform the market. Moreover, Solegreen Ltd has an alpha of 0.4348 implying that it can potentially generate 0.4348% 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 2639.71. The daily returns are destributed with a variance of 1.81 and standard deviation of 1.35. The mean deviation of Solegreen Ltd is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.43
β
Beta against DOW=0.33
σ
Overall volatility
=1.35
Ir
Information ratio =0.14

Solegreen Ltd Return Volatility

Solegreen Ltd accepts 1.3465% volatility on return distribution over the 30 days horizon. DOW inherits 1.023% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Solegreen Ltd Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Solegreen Ltd Investment Opportunity

Solegreen Ltd has a volatility of 1.35 and is 1.32 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Solegreen Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Solegreen Ltd to be traded at S806.46 in 30 days. As returns on market increase, returns on owning Solegreen Ltd are expected to decrease at a much smaller rate. During bear market, Solegreen Ltd is likely to outperform the market.

Solegreen Ltd correlation with market

Good 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

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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