Taya Investment (Israel) Risk Analysis And Volatility Evaluation

TAYA -- Israel Stock  

ILS 6,042  208.00  3.57%

Macroaxis considers Taya Investment unknown risk given 1 month investment horizon. Taya Investment Co owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1927 which indicates Taya Investment Co had 0.1927% 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 Taya Investment Co Ltd which you can use to evaluate future volatility of the company. Please operate Taya Investment Coefficient Of Variation of 4443.54 and Risk Adjusted Performance of 0.0272 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, returns on owning Taya Investment are expected to decrease at a much smaller rate. During bear market, Taya Investment is likely to outperform the market.
One Month Beta |Analyze Taya Investment Co Demand Trend
Check current 30 days Taya Investment correlation with market (DOW)
β = -0.3151
Taya Investment Almost negative betaTaya Investment Co Beta Legend

Taya Investment Co Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Taya Investment Projected Return Density Against Market

Assuming 30 trading days horizon, Taya Investment Co Ltd has beta of -0.3151 . This entails as returns on benchmark increase, returns on holding Taya Investment are expected to decrease at a much smaller rate. During bear market, however, Taya Investment Co Ltd is likely to outperform the market. Additionally, Taya Investment Co 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 Taya Investment is 519.06. The daily returns are destributed with a variance of 2.85 and standard deviation of 1.69. The mean deviation of Taya Investment Co Ltd is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.02
β
Beta against DOW=0.32
σ
Overall volatility
=1.69
Ir
Information ratio =0.10

Taya Investment Return Volatility

Taya Investment Co Ltd accepts 1.6888% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Taya Investment Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Taya Investment Investment Opportunity

Taya Investment Co Ltd has a volatility of 1.69 and is 1.61 times more volatile than DOW. 15% 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 15 (%) 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 unexpected upward trend. Watch out for market signals. Check odds of Taya Investment to be traded at S7250.4 in 30 days. As returns on market increase, returns on owning Taya Investment are expected to decrease at a much smaller rate. During bear market, Taya Investment is likely to outperform the market.

Taya Investment correlation with market

Good 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

Also please take a look at World Market Map. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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