CIM Commercial (Israel) Risk Analysis And Volatility Evaluation

CMCTP -- Israel Stock  

null 9,698  62.00  0.64%

We consider CIM Commercial unknown risk. CIM Commercial Trust secures Sharpe Ratio (or Efficiency) of 0.0916 which signifies that CIM Commercial Trust had 0.0916% 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 CIM Commercial Trust Corporation which you can use to evaluate future volatility of the firm. Please confirm CIM Commercial Trust Mean Deviation of 0.1479 and Risk Adjusted Performance of 0.2301 to double-check if risk estimate we provide are consistent with the epected return of 0.0417%.
Horizon     30 Days    Login   to change

CIM Commercial Market Sensitivity

As returns on market increase, returns on owning CIM Commercial are expected to decrease at a much smaller rate. During bear market, CIM Commercial is likely to outperform the market.
One Month Beta |Analyze CIM Commercial Trust Demand Trend
Check current 30 days CIM Commercial correlation with market (DOW)
β = -0.0086
CIM Commercial Almost negative betaCIM Commercial Trust Beta Legend

CIM Commercial Trust Technical Analysis

Transformation
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CIM Commercial Projected Return Density Against Market

Assuming 30 trading days horizon, CIM Commercial Trust Corporation has beta of -0.0086 . This suggests as returns on benchmark increase, returns on holding CIM Commercial are expected to decrease at a much smaller rate. During bear market, however, CIM Commercial Trust Corporation is likely to outperform the market. Moreover, CIM Commercial Trust Corporation has an alpha of 0.0525 implying that it can potentially generate 0.0525% 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 CIM Commercial is 1091.72. The daily returns are destributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of CIM Commercial Trust Corporation is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0086
σ
Overall volatility
=0.46
Ir
Information ratio =0.85

CIM Commercial Return Volatility

CIM Commercial Trust Corporation accepts 0.4553% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CIM Commercial Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

CIM Commercial Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 2.3 times more volatile than CIM Commercial Trust Corporation. 4% of all equities and portfolios are less risky than CIM Commercial. Compared to the overall equity markets, volatility of historical daily returns of CIM Commercial Trust Corporation is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use CIM Commercial Trust Corporation to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of CIM Commercial to be traded at 9504.04 in 30 days. As returns on market increase, returns on owning CIM Commercial are expected to decrease at a much smaller rate. During bear market, CIM Commercial is likely to outperform the market.

CIM Commercial correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding CIM Commercial Trust Corp. and equity matching DJI index in the same portfolio.

CIM Commercial Volatility Indicators

CIM Commercial Trust Corporation Current Risk Indicators

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