Vitania Ltd (Israel) Risk Analysis And Volatility Evaluation

VTNA -- Israel Stock  

ILS 1,051  8.00  0.77%

Macroaxis considers Vitania Ltd to be unknown risk. Vitania Ltd owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0439 which indicates Vitania Ltd had -0.0439% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Vitania Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vitania Ltd Coefficient Of Variation of 1598.79 and Risk Adjusted Performance of 0.0796 to confirm risk estimate we provide.
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 = 1.0E-4

Vitania Ltd Central Daily Price Deviation

Vitania Ltd Technical Analysis

Transformation
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Vitania Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Vitania Ltd has beta of 1.0E-4 . 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, Vitania Ltd has an alpha of 0.0412 implying that it can potentially generate 0.0412% 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 -2278.0. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Vitania Ltd is currently at 0.58. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0412
β
Beta against DOW=0.0001
σ
Overall volatility
=0.75
Ir
Information ratio =0.27

Vitania Ltd Return Volatility

Vitania Ltd accepts 0.7503% volatility on return distribution over the 30 days horizon. DOW inherits 1.3173% 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

DOW has a standard deviation of returns of 1.32 and is 1.76 times more volatile than Vitania Ltd. 6% 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 6 (%) of all global equities and portfolios over the last 30 days.

Vitania Ltd Volatility Indicators

Vitania Ltd Current Risk Indicators

Also please take a look at World Market Map. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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