Brack Capital (Israel) Risk Analysis And Volatility Evaluation

BCNV -- Israel Stock  

ILS 40,880  30.00  0.07%

Macroaxis considers Brack Capital to be unknown risk. Brack Capital Proper secures Sharpe Ratio (or Efficiency) of -0.307 which signifies that Brack Capital Proper had -0.307% of return per unit of standard deviation over the last 1 month. 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. Brack Capital Properties NV exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Brack Capital Proper Mean Deviation of 0.5289 and Risk Adjusted Performance of 0.22 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Brack Capital Market Sensitivity

As returns on market increase, Brack Capital returns are expected to increase less than the market. However during bear market, the loss on holding Brack Capital will be expected to be smaller as well.
One Month Beta |Analyze Brack Capital Proper Demand Trend
Check current 30 days Brack Capital correlation with market (DOW)
β = 0.2135
Brack Capital Small BetaBrack Capital Proper Beta Legend

Brack Capital Proper Technical Analysis

Transformation
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Brack Capital Projected Return Density Against Market

Assuming 30 trading days horizon, Brack Capital has beta of 0.2135 . This suggests as returns on market go up, Brack Capital average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brack Capital Properties NV will be expected to be much smaller as well. Additionally, Brack Capital Properties NV 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 Brack Capital is -325.72. The daily returns are destributed with a variance of 0.5 and standard deviation of 0.71. The mean deviation of Brack Capital Properties NV is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.11
β
Beta against DOW=0.21
σ
Overall volatility
=0.71
Ir
Information ratio =0.0433

Brack Capital Return Volatility

Brack Capital Properties NV accepts 0.7059% volatility on return distribution over the 30 days horizon. DOW inherits 1.0373% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brack Capital Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Brack Capital Investment Opportunity

DOW has a standard deviation of returns of 1.04 and is 1.46 times more volatile than Brack Capital Properties NV. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use Brack Capital Properties NV to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Brack Capital to be traded at S40471.2 in 30 days. As returns on market increase, Brack Capital returns are expected to increase less than the market. However during bear market, the loss on holding Brack Capital will be expected to be smaller as well.

Brack Capital correlation with market

Weak 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 Volatility Indicators

Brack Capital Properties NV Current Risk Indicators

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