Amanet Management (Israel) Risk Analysis And Volatility Evaluation

AMAN -- Israel Stock  

ILS 1,896  0.00  0.00%

Macroaxis considers Amanet Management to be unknown risk. Amanet Management secures Sharpe Ratio (or Efficiency) of -0.1385 which signifies that Amanet Management had -0.1385% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in 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. Amanet Management Systems Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Amanet Management Mean Deviation of 0.9702 and Risk Adjusted Performance of (0.17) to double-check risk estimate we provide.
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 = 0.164

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 0.164 . 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. Additionally, Amanet Management Systems 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 Amanet Management is -721.87. The daily returns are destributed with a variance of 1.17 and standard deviation of 1.08. The mean deviation of Amanet Management Systems Ltd is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.18
β
Beta against DOW=0.16
σ
Overall volatility
=1.08
Ir
Information ratio =0.03

Amanet Management Return Volatility

Amanet Management Systems Ltd accepts 1.0827% volatility on return distribution over the 30 days horizon. DOW inherits 1.3082% 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

DOW has a standard deviation of returns of 1.31 and is 1.21 times more volatile than Amanet Management Systems Ltd. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Amanet Management Systems Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Amanet Management to be traded at S1877.04 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
Average 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

Check also Trending Equities. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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