Gan Shmuel (Israel) Risk Analysis And Volatility Evaluation

GSFI -- Israel Stock  

ILS 3,343  43.00  1.30%

Macroaxis considers Gan Shmuel to be unknown risk. Gan Shmuel Foods holds Efficiency (Sharpe) Ratio of -0.1847 which attests that Gan Shmuel Foods had -0.1847% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Gan Shmuel Foods exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Gan Shmuel Market Risk Adjusted Performance of 0.7689 and Risk Adjusted Performance of 0.23 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Gan Shmuel Market Sensitivity

As returns on market increase, returns on owning Gan Shmuel are expected to decrease at a much smaller rate. During bear market, Gan Shmuel is likely to outperform the market.
One Month Beta |Analyze Gan Shmuel Foods Demand Trend
Check current 30 days Gan Shmuel correlation with market (DOW)
β = -0.4967
Gan Shmuel Almost negative betaGan Shmuel Foods Beta Legend

Gan Shmuel Foods Technical Analysis

Transformation
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Gan Shmuel Projected Return Density Against Market

Assuming 30 trading days horizon, Gan Shmuel Foods Ltd has beta of -0.4967 . This indicates as returns on benchmark increase, returns on holding Gan Shmuel are expected to decrease at a much smaller rate. During bear market, however, Gan Shmuel Foods Ltd is likely to outperform the market. Additionally, Gan Shmuel Foods 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 Gan Shmuel is -541.51. The daily returns are destributed with a variance of 2.34 and standard deviation of 1.53. The mean deviation of Gan Shmuel Foods Ltd is currently at 1.11. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.46
β
Beta against DOW=0.5
σ
Overall volatility
=1.53
Ir
Information ratio =0.12

Gan Shmuel Return Volatility

Gan Shmuel Foods Ltd accepts 1.5283% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Gan Shmuel Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Gan Shmuel Investment Opportunity

Gan Shmuel Foods Ltd has a volatility of 1.53 and is 1.47 times more volatile than DOW. 13% of all equities and portfolios are less risky than Gan Shmuel. Compared to the overall equity markets, volatility of historical daily returns of Gan Shmuel Foods Ltd is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Gan Shmuel Foods Ltd to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Gan Shmuel to be traded at S3677.3 in 30 days. As returns on market increase, returns on owning Gan Shmuel are expected to decrease at a much smaller rate. During bear market, Gan Shmuel is likely to outperform the market.

Gan Shmuel correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Gan Shmuel Foods Ltd and equity matching DJI index in the same portfolio.

Gan Shmuel Volatility Indicators

Gan Shmuel Foods Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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