Amanet Management (Israel) Risk Analysis And Volatility

AMAN -- Israel Stock  

ILS 2,235  46.00  2.02%

We consider Amanet Management unknown risk. Amanet Management secures Sharpe Ratio (or Efficiency) of 0.0174 which signifies that the organization had 0.0174% of return per unit of standard deviation over the last 2 months. Our philosophy in foreseeing 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 Amanet Management Systems Ltd which you can use to evaluate future volatility of the firm. Please confirm Amanet Management Mean Deviation of 1.42 and Risk Adjusted Performance of 0.1267 to double-check if risk estimate we provide are consistent with the epected return of 0.035%.
Horizon     30 Days    Login   to change

Amanet Management Market Sensitivity

As returns on market increase, Amanet Management returns are expected to increase less than the market. However during bear market, the loss on holding Amanet Management will be expected to be smaller as well.
2 Months Beta |Analyze Amanet Management Demand Trend
Check current 30 days Amanet Management correlation with market (DOW)
β = 0.6454

Amanet Management Central Daily Price Deviation

Amanet Management Technical Analysis

Transformation
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Amanet Management Projected Return Density Against Market

Assuming 30 trading days horizon, Amanet Management has beta of 0.6454 . This suggests as returns on market go up, Amanet Management average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Amanet Management Systems Ltd will be expected to be much smaller as well. Moreover, The company has an alpha of 0.2959 implying that it can potentially generate 0.2959% 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 Amanet Management is 5746.54. The daily returns are destributed with a variance of 4.04 and standard deviation of 2.01. The mean deviation of Amanet Management Systems Ltd is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.30
β
Beta against DOW=0.65
σ
Overall volatility
=2.01
Ir
Information ratio =0.13

Amanet Management Return Volatility

the company accepts 2.0104% 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

Amanet Management Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Amanet Management Investment Opportunity

Amanet Management Systems Ltd has a volatility of 2.01 and is 2.91 times more volatile than DOW. 18% of all equities and portfolios are less risky than Amanet Management. Compared to the overall equity markets, volatility of historical daily returns of Amanet Management Systems Ltd is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use Amanet Management Systems Ltd to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Amanet Management to be traded at S2145.6 in 30 days. . As returns on market increase, Amanet Management returns are expected to increase less than the market. However during bear market, the loss on holding Amanet Management will be expected to be smaller as well.

Amanet Management correlation with market

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

Amanet Management Volatility Indicators

Amanet Management Systems Ltd Current Risk Indicators

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