Brack Capital (Israel) Risk Analysis And Volatility

BCNV -- Israel Stock  

ILS 39,150  210.00  0.53%

We consider Brack Capital very steady. Brack Capital Proper secures Sharpe Ratio (or Efficiency) of 0.0936 which signifies that the organization had 0.0936% 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 Brack Capital Properties NV which you can use to evaluate future volatility of the firm. Please confirm Brack Capital Proper Mean Deviation of 1.21 and Risk Adjusted Performance of 0.0888 to double-check if risk estimate we provide are consistent with the epected return of 0.1351%.

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

Brack Capital Market Sensitivity

As returns on market increase, returns on owning Brack Capital are expected to decrease at a much smaller rate. During bear market, Brack Capital is likely to outperform the market.
2 Months Beta |Analyze Brack Capital Proper Demand Trend
Check current 30 days Brack Capital correlation with market (DOW)
β = -0.0725

Brack Capital Central Daily Price Deviation

Brack Capital Proper Technical Analysis

Transformation
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Brack Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Brack Capital Properties NV has beta of -0.0725 . This suggests as returns on benchmark increase, returns on holding Brack Capital are expected to decrease at a much smaller rate. During bear market, however, Brack Capital Properties NV is likely to outperform the market. Moreover, The company has an alpha of 0.2184 implying that it can potentially generate 0.2184% 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 Brack Capital is 1068.59. The daily returns are destributed with a variance of 2.08 and standard deviation of 1.44. The mean deviation of Brack Capital Properties NV is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
=0.22
β
Beta against DOW=0.07
σ
Overall volatility
=1.44
Ir
Information ratio =0.06

Brack Capital Return Volatility

the company accepts 1.4439% volatility on return distribution over the 30 days horizon. the entity inherits 0.5802% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Brack Capital Investment Opportunity

Brack Capital Properties NV has a volatility of 1.44 and is 2.48 times more volatile than DOW. 12% of all equities and portfolios are less risky than Brack Capital. Compared to the overall equity markets, volatility of historical daily returns of Brack Capital Properties NV is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Brack Capital Properties NV to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Brack Capital to be traded at S38367.0 in 30 days. . As returns on market increase, returns on owning Brack Capital are expected to decrease at a much smaller rate. During bear market, Brack Capital is likely to outperform the market.

Brack Capital correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Brack Capital Properties NV and equity matching DJI index in the same portfolio.

Brack Capital Current Risk Indicators

Brack Capital Suggested Diversification Pairs

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