Vitania Ltd (Israel) Risk Analysis And Volatility

VTNA -- Israel Stock  

ILS 1,429  2.00  0.14%

Macroaxis considers Vitania Ltd unknown risk given 2 months investment horizon. Vitania Ltd owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3469 which indicates the firm had 0.3469% 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 Vitania Ltd technical indicators you can presently evaluate if the expected return of 0.96% is justified by implied risk. Please operate Vitania Ltd Risk Adjusted Performance of 0.1663, Semi Deviation of 1.55 and Coefficient Of Variation of 450.02 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Vitania Ltd Market Sensitivity

As returns on market increase, Vitania Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Vitania Ltd will be expected to be smaller as well.
2 Months Beta |Analyze Vitania Ltd Demand Trend
Check current 30 days Vitania Ltd correlation with market (DOW)
β = 0.0324

Vitania Ltd Central Daily Price Deviation

Vitania Ltd 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.

Vitania Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Vitania Ltd has beta of 0.0324 . This entails as returns on market go up, Vitania Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Vitania Ltd will be expected to be much smaller as well. Moreover, The company has an alpha of 0.6001 implying that it can potentially generate 0.6001% 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 Vitania Ltd is 288.27. The daily returns are destributed with a variance of 7.66 and standard deviation of 2.77. The mean deviation of Vitania Ltd is currently at 1.79. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.60
β
Beta against DOW=0.0324
σ
Overall volatility
=2.77
Ir
Information ratio =0.20

Vitania Ltd Return Volatility

the company accepts 2.7674% volatility on return distribution over the 30 days horizon. the entity inherits 0.6883% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vitania Ltd Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Vitania Ltd Investment Opportunity

Vitania Ltd has a volatility of 2.77 and is 4.01 times more volatile than DOW. 24% of all equities and portfolios are less risky than Vitania Ltd. Compared to the overall equity markets, volatility of historical daily returns of Vitania Ltd is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Vitania Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Vitania Ltd to be traded at S1500.45 in 30 days. . As returns on market increase, Vitania Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Vitania Ltd will be expected to be smaller as well.

Vitania Ltd correlation with market

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

Vitania Ltd Volatility Indicators

Vitania 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.
Search macroaxis.com