Brill Shoe (Israel) Risk Analysis And Volatility Evaluation

BRIL -- Israel Stock  

ILS 928.90  0.000024  0.00%

Macroaxis considers Brill Shoe unknown risk given 1 month investment horizon. Brill Shoe Industries secures Sharpe Ratio (or Efficiency) of 0.1944 which signifies that Brill Shoe Industries had 0.1944% of return per unit of risk over the last 1 month. Our philosophy towards 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 Brill Shoe Industries Ltd which you can use to evaluate future volatility of the firm. Please makes use of Brill Shoe Industries Risk Adjusted Performance of 0.3596 and Mean Deviation of 1.56 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Brill Shoe Market Sensitivity

As returns on market increase, returns on owning Brill Shoe are expected to decrease at a much smaller rate. During bear market, Brill Shoe is likely to outperform the market.
One Month Beta |Analyze Brill Shoe Industries Demand Trend
Check current 30 days Brill Shoe correlation with market (DOW)
β = -0.4209
Brill Shoe Almost negative betaBrill Shoe Industries Beta Legend

Brill Shoe Industries Technical Analysis

Transformation
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Brill Shoe Projected Return Density Against Market

Assuming 30 trading days horizon, Brill Shoe Industries Ltd has beta of -0.4209 . This suggests as returns on benchmark increase, returns on holding Brill Shoe are expected to decrease at a much smaller rate. During bear market, however, Brill Shoe Industries Ltd is likely to outperform the market. Moreover, Brill Shoe Industries Ltd has an alpha of 0.6879 implying that it can potentially generate 0.6879% 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 Brill Shoe is 514.49. The daily returns are destributed with a variance of 3.0 and standard deviation of 1.73. The mean deviation of Brill Shoe Industries Ltd is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.69
β
Beta against DOW=0.42
σ
Overall volatility
=1.73
Ir
Information ratio =0.39

Brill Shoe Return Volatility

Brill Shoe Industries Ltd accepts 1.7311% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Brill Shoe Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Brill Shoe Investment Opportunity

Brill Shoe Industries Ltd has a volatility of 1.73 and is 1.63 times more volatile than DOW. 15% 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 15 (%) 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, but the immediate impact on correlations cannot be determined at the moment . Check odds of Brill Shoe to be traded at S919.61 in 30 days. As returns on market increase, returns on owning Brill Shoe are expected to decrease at a much smaller rate. During bear market, Brill Shoe is likely to outperform the market.

Brill Shoe correlation with market

Good 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

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