Y H (Israel) Risk Analysis And Volatility Evaluation

DIMRI -- Israel Stock  

ILS 5,852  122.00  2.13%

We consider Y H unknown risk. Y H Dimri shows Sharpe Ratio of 0.1534 which attests that Y H Dimri had 0.1534% of return per unit of standard deviation over the last 2 months. Our approach towards determining 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 Y H Dimri which you can use to evaluate future volatility of the entity. Please check out Y H Dimri Risk Adjusted Performance of 0.0868, Mean Deviation of 0.9029 and Downside Deviation of 1.55 to validate if risk estimate we provide are consistent with the epected return of 0.1906%.
Horizon     30 Days    Login   to change

Y H Market Sensitivity

As returns on market increase, Y H returns are expected to increase less than the market. However during bear market, the loss on holding Y H will be expected to be smaller as well.
2 Months Beta |Analyze Y H Dimri Demand Trend
Check current 30 days Y H correlation with market (DOW)
β = 0.0233

Y H Central Daily Price Deviation

Y H Dimri Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Y H Projected Return Density Against Market

Assuming 30 trading days horizon, Y H has beta of 0.0233 suggesting as returns on market go up, Y H average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Y H Dimri Construction Development Ltd will be expected to be much smaller as well. Moreover, Y H Dimri Construction Development Ltd has an alpha of 0.0738 implying that it can potentially generate 0.0738% 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 Y H is 652.01. The daily returns are destributed with a variance of 1.54 and standard deviation of 1.24. The mean deviation of Y H Dimri Construction Development Ltd is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.07
β
Beta against DOW=0.0233
σ
Overall volatility
=1.24
Ir
Information ratio =0.20

Y H Return Volatility

Y H Dimri Construction Development Ltd accepts 1.2424% volatility on return distribution over the 30 days horizon. DOW inherits 1.3128% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Y H Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Y H Investment Opportunity

DOW has a standard deviation of returns of 1.31 and is 1.06 times more volatile than Y H Dimri Construction Development Ltd. 11% of all equities and portfolios are less risky than Y H. Compared to the overall equity markets, volatility of historical daily returns of Y H Dimri Construction Development Ltd is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use Y H Dimri Construction Development Ltd to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Y H to be traded at S7022.4 in 30 days. As returns on market increase, Y H returns are expected to increase less than the market. However during bear market, the loss on holding Y H will be expected to be smaller as well.

Y H correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Y H Dimri Construction Develop and equity matching DJI index in the same portfolio.

Y H Volatility Indicators

Y H Dimri Construction Development Ltd Current Risk Indicators

Additionally see Investing Opportunities. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
Search macroaxis.com