Brill Shoe (Israel) Risk Analysis And Volatility Evaluation

BRIL -- Israel Stock  

ILS 808.30  0.80  0.1%

Macroaxis considers Brill Shoe to be unknown risk. Brill Shoe Industries secures Sharpe Ratio (or Efficiency) of -0.3279 which signifies that Brill Shoe Industries had -0.3279% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. Brill Shoe Industries Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Brill Shoe Industries Risk Adjusted Performance of (0.12) and Mean Deviation of 1.24 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Brill Shoe Market Sensitivity

As returns on market increase, Brill Shoe returns are expected to increase less than the market. However during bear market, the loss on holding Brill Shoe will be expected to be smaller as well.
2 Months Beta |Analyze Brill Shoe Industries Demand Trend
Check current 30 days Brill Shoe correlation with market (DOW)
β = 0.0769

Brill Shoe Central Daily Price Deviation

Brill Shoe Industries Technical Analysis

Transformation
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Brill Shoe Projected Return Density Against Market

Assuming 30 trading days horizon, Brill Shoe has beta of 0.0769 . This suggests as returns on market go up, Brill Shoe average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Brill Shoe Industries Ltd will be expected to be much smaller as well. Additionally, Brill Shoe Industries 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 Brill Shoe is -304.96. The daily returns are destributed with a variance of 3.38 and standard deviation of 1.84. The mean deviation of Brill Shoe Industries Ltd is currently at 1.37. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.16
β
Beta against DOW=0.08
σ
Overall volatility
=1.84
Ir
Information ratio =0.0069

Brill Shoe Return Volatility

Brill Shoe Industries Ltd accepts 1.8372% volatility on return distribution over the 30 days horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brill Shoe Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Brill Shoe Investment Opportunity

Brill Shoe Industries Ltd has a volatility of 1.84 and is 1.38 times more volatile than DOW. 16% of all equities and portfolios are less risky than Brill Shoe. Compared to the overall equity markets, volatility of historical daily returns of Brill Shoe Industries Ltd is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Brill Shoe Industries Ltd to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Brill Shoe to be traded at S800.22 in 30 days. As returns on market increase, Brill Shoe returns are expected to increase less than the market. However during bear market, the loss on holding Brill Shoe will be expected to be smaller as well.

Brill Shoe correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Brill Shoe Industries Ltd and equity matching DJI index in the same portfolio.

Brill Shoe Volatility Indicators

Brill Shoe Industries Ltd Current Risk Indicators

Check also Trending Equities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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