Africa Israel (Israel) Risk Analysis And Volatility Evaluation

AFRE -- Israel Stock  

ILS 6,120  190.00  3.01%

Macroaxis considers Africa Israel to be unknown risk. Africa Israel Residences secures Sharpe Ratio (or Efficiency) of -0.1711 which signifies that Africa Israel Residences had -0.1711% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Africa Israel Residences Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Africa Israel Residences Risk Adjusted Performance of 0.030264 and Mean Deviation of 0.6645 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Africa Israel Market Sensitivity

As returns on market increase, Africa Israel returns are expected to increase less than the market. However during bear market, the loss on holding Africa Israel will be expected to be smaller as well.
One Month Beta |Analyze Africa Israel Residences Demand Trend
Check current 30 days Africa Israel correlation with market (DOW)
β = 0.0902
Africa Israel Small BetaAfrica Israel Residences Beta Legend

Africa Israel Residences Technical Analysis

Transformation
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Africa Israel Projected Return Density Against Market

Assuming 30 trading days horizon, Africa Israel has beta of 0.0902 . This suggests as returns on market go up, Africa Israel average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Africa Israel Residences Ltd will be expected to be much smaller as well. Additionally, Africa Israel Residences 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 Africa Israel is -584.5. The daily returns are destributed with a variance of 0.76 and standard deviation of 0.87. The mean deviation of Africa Israel Residences Ltd is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.02
β
Beta against DOW=0.09
σ
Overall volatility
=0.87
Ir
Information ratio =0.13

Africa Israel Return Volatility

Africa Israel Residences Ltd accepts 0.8703% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Africa Israel Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Africa Israel Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.22 times more volatile than Africa Israel Residences Ltd. 7% of all equities and portfolios are less risky than Africa Israel. Compared to the overall equity markets, volatility of historical daily returns of Africa Israel Residences Ltd is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Africa Israel Residences Ltd to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Africa Israel to be traded at S5875.2 in 30 days. As returns on market increase, Africa Israel returns are expected to increase less than the market. However during bear market, the loss on holding Africa Israel will be expected to be smaller as well.

Africa Israel correlation with market

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

Africa Israel Volatility Indicators

Africa Israel Residences Ltd Current Risk Indicators

Check also Trending Equities. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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