Y H (Israel) Risk Analysis And Volatility Evaluation

DIMRI -- Israel Stock  

ILS 5,717  51.00  0.88%

We consider Y H unknown risk. Y H Dimri shows Sharpe Ratio of 0.0789 which attests that Y H Dimri had 0.0789% of return per unit of standard deviation over the last 1 month. 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 0.17 and Mean Deviation of 0.8765 to validate if risk estimate we provide are consistent with the epected return of 0.1067%.
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.
One Month Beta |Analyze Y H Dimri Demand Trend
Check current 30 days Y H correlation with market (DOW)
β = -0.0656
Y H Almost negative betaY H Dimri Beta Legend

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 Dimri Construction Development Ltd has beta of -0.0656 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. Additionally, Y H Dimri Construction Development Ltd has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Y H is 1266.9. The daily returns are destributed with a variance of 1.83 and standard deviation of 1.35. 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 1.07
α
Alpha over DOW
=0.22
β
Beta against DOW=0.07
σ
Overall volatility
=1.35
Ir
Information ratio =0.09

Y H Return Volatility

Y H Dimri Construction Development Ltd accepts 1.3521% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Y H Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Y H Investment Opportunity

Y H Dimri Construction Development Ltd has a volatility of 1.35 and is 1.26 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Y H Dimri Construction Development Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Y H to be traded at S5602.66 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

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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