Victory Supermarket (Israel) Risk Analysis And Volatility Evaluation

VCTR -- Israel Stock  

ILS 5,199  190.00  3.79%

Macroaxis considers Victory Supermarket unknown risk given 2 months investment horizon. Victory Supermarket owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5741 which indicates Victory Supermarket had 0.5741% 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. By inspecting Victory Supermarket technical indicators you can presently evaluate if the expected return of 0.9651% is justified by implied risk. Please operate Victory Supermarket Downside Deviation of 0.9484, Standard Deviation of 1.57 and Risk Adjusted Performance of 0.463 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Victory Supermarket Market Sensitivity

As returns on market increase, returns on owning Victory Supermarket are expected to decrease at a much smaller rate. During bear market, Victory Supermarket is likely to outperform the market.
2 Months Beta |Analyze Victory Supermarket Demand Trend
Check current 30 days Victory Supermarket correlation with market (DOW)
β = -0.1634

Victory Supermarket Central Daily Price Deviation

Victory Supermarket Technical Analysis

Transformation
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Victory Supermarket Projected Return Density Against Market

Assuming 30 trading days horizon, Victory Supermarket Chain Ltd has beta of -0.1634 . This entails as returns on benchmark increase, returns on holding Victory Supermarket are expected to decrease at a much smaller rate. During bear market, however, Victory Supermarket Chain Ltd is likely to outperform the market. Moreover, Victory Supermarket Chain Ltd has an alpha of 0.5118 implying that it can potentially generate 0.5118% 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 Victory Supermarket is 174.19. The daily returns are destributed with a variance of 2.83 and standard deviation of 1.68. The mean deviation of Victory Supermarket Chain Ltd is currently at 1.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.51
β
Beta against DOW=0.16
σ
Overall volatility
=1.68
Ir
Information ratio =0.45

Victory Supermarket Return Volatility

Victory Supermarket Chain Ltd accepts 1.6811% volatility on return distribution over the 30 days horizon. DOW inherits 1.3328% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Victory Supermarket Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Victory Supermarket Investment Opportunity

Victory Supermarket Chain Ltd has a volatility of 1.68 and is 1.26 times more volatile than DOW. 15% of all equities and portfolios are less risky than Victory Supermarket. Compared to the overall equity markets, volatility of historical daily returns of Victory Supermarket Chain Ltd is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Victory Supermarket Chain Ltd to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Victory Supermarket to be traded at S6238.8 in 30 days. As returns on market increase, returns on owning Victory Supermarket are expected to decrease at a much smaller rate. During bear market, Victory Supermarket is likely to outperform the market.

Victory Supermarket correlation with market

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

Victory Supermarket Volatility Indicators

Victory Supermarket Chain Ltd Current Risk Indicators

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