CIM Commercial (Israel) Risk Analysis And Volatility Evaluation

CMCTP -- Israel Stock  

null 9,763  0.00  0.00%

We consider CIM Commercial not too risky. CIM Commercial Trust secures Sharpe Ratio (or Efficiency) of 0.0382 which signifies that CIM Commercial Trust had 0.0382% of return per unit of risk over the last 2 months. 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 0.1416 and Risk Adjusted Performance of 0.0736 to double-check if risk estimate we provide are consistent with the epected return of 0.0177%.
Horizon     30 Days    Login   to change

CIM Commercial Market Sensitivity

As returns on market increase, CIM Commercial returns are expected to increase less than the market. However during bear market, the loss on holding CIM Commercial will be expected to be smaller as well.
2 Months Beta |Analyze CIM Commercial Trust Demand Trend
Check current 30 days CIM Commercial correlation with market (DOW)
β = 0.0043

CIM Commercial Central Daily Price Deviation

CIM Commercial Trust Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. CIM Commercial Trust Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

CIM Commercial Projected Return Density Against Market

Assuming 30 trading days horizon, CIM Commercial has beta of 0.0043 . This suggests as returns on market go up, CIM Commercial average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CIM Commercial Trust Corporation will be expected to be much smaller as well. Moreover, CIM Commercial Trust Corporation has an alpha of 0.0129 implying that it can potentially generate 0.0129% 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 2615.81. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.46. The mean deviation of CIM Commercial Trust Corporation is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.0129
β
Beta against DOW=0.0043
σ
Overall volatility
=0.46
Ir
Information ratio =0.51

CIM Commercial Return Volatility

CIM Commercial Trust Corporation accepts 0.4642% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CIM Commercial Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

CIM Commercial Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 2.83 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 normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of CIM Commercial to be traded at 9665.37 in 30 days. As returns on market increase, CIM Commercial returns are expected to increase less than the market. However during bear market, the loss on holding CIM Commercial will be expected to be smaller as well.

CIM Commercial correlation with market

correlation synergy
Significant 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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