Taya Investment (Israel) Risk Analysis And Volatility Evaluation

TAYA -- Israel Stock  

ILS 6,155  60.00  0.98%

Macroaxis considers Taya Investment unknown risk given 2 months investment horizon. Taya Investment owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1186 which indicates Taya Investment had 0.1186% 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 Taya Investment Co Ltd which you can use to evaluate future volatility of the company. Please operate Taya Investment Semi Deviation of 2.07, Coefficient Of Variation of 3241.28 and Risk Adjusted Performance of 0.0473 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Taya Investment Market Sensitivity

As returns on market increase, Taya Investment returns are expected to increase less than the market. However during bear market, the loss on holding Taya Investment will be expected to be smaller as well.
2 Months Beta |Analyze Taya Investment Demand Trend
Check current 30 days Taya Investment correlation with market (DOW)
β = 0.2032

Taya Investment Central Daily Price Deviation

Taya Investment Technical Analysis

Transformation
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Taya Investment Projected Return Density Against Market

Assuming 30 trading days horizon, Taya Investment has beta of 0.2032 . This entails as returns on market go up, Taya Investment average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Taya Investment Co Ltd will be expected to be much smaller as well. Moreover, Taya Investment Co Ltd has an alpha of 0.1042 implying that it can potentially generate 0.1042% 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 Taya Investment is 843.27. The daily returns are destributed with a variance of 7.42 and standard deviation of 2.72. The mean deviation of Taya Investment Co Ltd is currently at 1.82. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.10
β
Beta against DOW=0.20
σ
Overall volatility
=2.72
Ir
Information ratio =0.09

Taya Investment Return Volatility

Taya Investment Co Ltd accepts 2.7244% volatility on return distribution over the 30 days horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Taya Investment Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Taya Investment Investment Opportunity

Taya Investment Co Ltd has a volatility of 2.72 and is 2.09 times more volatile than DOW. 24% of all equities and portfolios are less risky than Taya Investment. Compared to the overall equity markets, volatility of historical daily returns of Taya Investment Co Ltd is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Taya Investment Co Ltd to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Taya Investment to be traded at S6770.5 in 30 days. As returns on market increase, Taya Investment returns are expected to increase less than the market. However during bear market, the loss on holding Taya Investment will be expected to be smaller as well.

Taya Investment correlation with market

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

Taya Investment Volatility Indicators

Taya Investment Co Ltd Current Risk Indicators

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