Amanet Management (Israel) Risk Analysis And Volatility Evaluation

AMAN -- Israel Stock  

ILS 2,097  3.00  0.14%

Macroaxis considers Amanet Management unknown risk given 1 month investment horizon. Amanet Management secures Sharpe Ratio (or Efficiency) of 0.184 which signifies that Amanet Management had 0.184% of return per unit of standard deviation over the last 1 month. 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 makes use of Amanet Management Mean Deviation of 0.9261 and Risk Adjusted Performance of 0.026 to double-check if our risk estimates are consistent with your expectations.
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.
One Month Beta |Analyze Amanet Management Demand Trend
Check current 30 days Amanet Management correlation with market (DOW)
β = 0.2769
Amanet Management Small BetaAmanet Management Beta Legend

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 0.2769 . 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, Amanet Management Systems Ltd has an alpha of 0.0488 implying that it can potentially generate 0.0488% 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 543.38. The daily returns are destributed with a variance of 2.06 and standard deviation of 1.43. The mean deviation of Amanet Management Systems Ltd is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.0488
β
Beta against DOW=0.28
σ
Overall volatility
=1.43
Ir
Information ratio =0.08

Amanet Management Return Volatility

Amanet Management Systems Ltd accepts 1.4339% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Amanet Management Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Amanet Management Investment Opportunity

Amanet Management Systems Ltd has a volatility of 1.43 and is 1.34 times more volatile than DOW. 12% 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 12 (%) 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 and little activity. Check odds of Amanet Management to be traded at S2076.03 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

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

Check also Trending Equities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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