Y H (Israel) Risk Analysis And Volatility

DIMRI -- Israel Stock  

ILS 5,935  57.00  0.97%

Macroaxis considers Y H unknown risk given 2 months investment horizon. Y H Dimri shows Sharpe Ratio of 0.4344 which attests that the company had 0.4344% 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. By evaluating Y H Dimri technical indicators you can at this moment evaluate if the expected return of 0.6687% is justified by implied risk. Please utilize Y H Dimri Downside Deviation of 2.49, Mean Deviation of 1.51 and Risk Adjusted Performance of 0.042 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Y H Market Sensitivity

As returns on market increase, returns on owning Y H are expected to decrease at a much smaller rate. During bear market, Y H is likely to outperform the market.
2 Months Beta |Analyze Y H Dimri Demand Trend
Check current 30 days Y H correlation with market (DOW)
β = -0.6715

Y H Central Daily Price Deviation

Y H Dimri Technical Analysis

Transformation
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Y H Projected Return Density Against Market

Assuming 30 trading days horizon, Y H Dimri Construction Development Ltd has beta of -0.6715 suggesting as returns on benchmark increase, returns on holding Y H are expected to decrease at a much smaller rate. During bear market, however, Y H Dimri Construction Development Ltd is likely to outperform the market. Moreover, The company has an alpha of 0.1325 implying that it can potentially generate 0.1325% 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 230.18. The daily returns are destributed with a variance of 2.37 and standard deviation of 1.54. The mean deviation of Y H Dimri Construction Development Ltd is currently at 1.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.13
β
Beta against DOW=0.67
σ
Overall volatility
=1.54
Ir
Information ratio =0.0123

Y H Return Volatility

the firm accepts 1.5392% volatility on return distribution over the 30 days horizon. the entity inherits 0.6912% 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

Y H Dimri Construction Development Ltd has a volatility of 1.54 and is 2.23 times more volatile than DOW. 13% 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 13 (%) 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 moderate upward volatility. Check odds of Y H to be traded at S6528.5 in 30 days. . As returns on market increase, returns on owning Y H are expected to decrease at a much smaller rate. During bear market, Y H is likely to outperform the market.

Y H correlation with market

correlation synergy
Very good 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

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