F I (Israel) Risk Analysis And Volatility

FIBI -- Israel Stock  

ILS 9,109  91.00  0.99%

We consider F I very steady. F I B secures Sharpe Ratio (or Efficiency) of 0.133 which denotes the company had 0.133% of return per unit of return volatility over the last 2 months. Our philosophy in predicting 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 F I B I Holdings Ltd which you can use to evaluate future volatility of the entity. Please confirm F I B Mean Deviation of 2.02 and Downside Deviation of 6.45 to check if risk estimate we provide are consistent with the epected return of 0.1348%.

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Slowly supersedes market
Horizon     30 Days    Login   to change

F I Market Sensitivity

As returns on market increase, F I returns are expected to increase less than the market. However during bear market, the loss on holding F I will be expected to be smaller as well.
2 Months Beta |Analyze F I B Demand Trend
Check current 30 days F I correlation with market (DOW)
β = 0.4349

F I Central Daily Price Deviation

F I B Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. F I B 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.

F I Projected Return Density Against Market

Assuming 30 trading days horizon, F I has beta of 0.4349 suggesting as returns on market go up, F I average returns are expected to increase less than the benchmark. However during bear market, the loss on holding F I B I Holdings Ltd will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. F I B is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of F I is 752.14. The daily returns are destributed with a variance of 1.03 and standard deviation of 1.01. The mean deviation of F I B I Holdings Ltd is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
=0.01
β
Beta against DOW=0.43
σ
Overall volatility
=1.01
Ir
Information ratio =0.02

F I Return Volatility

the company accepts 1.0137% volatility on return distribution over the 30 days horizon. the entity inherits 0.5802% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

F I Investment Opportunity

F I B I Holdings Ltd has a volatility of 1.01 and is 1.74 times more volatile than DOW. 9% of all equities and portfolios are less risky than F I. Compared to the overall equity markets, volatility of historical daily returns of F I B I Holdings Ltd is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use F I B I Holdings Ltd to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of F I to be traded at S8926.82 in 30 days. . As returns on market increase, F I returns are expected to increase less than the market. However during bear market, the loss on holding F I will be expected to be smaller as well.

F I correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding F I B I Holdings Ltd and equity matching DJI index in the same portfolio.

F I Current Risk Indicators

F I Suggested Diversification Pairs

Additionally see Investing Opportunities. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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