Hachsharat Hayishuv (Israel) Risk Analysis And Volatility Evaluation

HAHO-L -- Israel Stock  

null 580.00  0.00  0.00%

Macroaxis considers Hachsharat Hayishuv not too risky given 2 months investment horizon. Hachsharat Hayishuv holds Efficiency (Sharpe) Ratio of 0.1879 which attests that Hachsharat Hayishuv had 0.1879% of return per unit of risk over the last 2 months. Our philosophy 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 Hachsharat Hayishuv technical indicators you can presently evaluate if the expected return of 0.6299% is justified by implied risk. Please utilize Hachsharat Hayishuv Market Risk Adjusted Performance of (6.62) and Risk Adjusted Performance of 0.256 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Hachsharat Hayishuv Market Sensitivity

As returns on market increase, returns on owning Hachsharat Hayishuv are expected to decrease at a much smaller rate. During bear market, Hachsharat Hayishuv is likely to outperform the market.
2 Months Beta |Analyze Hachsharat Hayishuv Demand Trend
Check current 30 days Hachsharat Hayishuv correlation with market (DOW)
β = -0.0905

Hachsharat Hayishuv Central Daily Price Deviation

Hachsharat Hayishuv Technical Analysis

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

Hachsharat Hayishuv Projected Return Density Against Market

Assuming 30 trading days horizon, Hachsharat Hayishuv Hotels Ltd has beta of -0.0905 . This indicates as returns on benchmark increase, returns on holding Hachsharat Hayishuv are expected to decrease at a much smaller rate. During bear market, however, Hachsharat Hayishuv Hotels Ltd is likely to outperform the market. Moreover, Hachsharat Hayishuv Hotels Ltd has an alpha of 0.5829 implying that it can potentially generate 0.5829% 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 Hachsharat Hayishuv is 532.14. The daily returns are destributed with a variance of 11.24 and standard deviation of 3.35. The mean deviation of Hachsharat Hayishuv Hotels Ltd is currently at 1.17. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.58
β
Beta against DOW=0.09
σ
Overall volatility
=3.35
Ir
Information ratio =0.25

Hachsharat Hayishuv Return Volatility

Hachsharat Hayishuv Hotels Ltd accepts 3.3521% volatility on return distribution over the 30 days horizon. DOW inherits 1.3399% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hachsharat Hayishuv Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

Hachsharat Hayishuv Investment Opportunity

Hachsharat Hayishuv Hotels Ltd has a volatility of 3.35 and is 2.5 times more volatile than DOW. 30% of all equities and portfolios are less risky than Hachsharat Hayishuv. Compared to the overall equity markets, volatility of historical daily returns of Hachsharat Hayishuv Hotels Ltd is lower than 30 (%) of all global equities and portfolios over the last 30 days. Use Hachsharat Hayishuv Hotels Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Hachsharat Hayishuv to be traded at 574.2 in 30 days. As returns on market increase, returns on owning Hachsharat Hayishuv are expected to decrease at a much smaller rate. During bear market, Hachsharat Hayishuv is likely to outperform the market.

Hachsharat Hayishuv correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Hachsharat Hayishuv Hotels Ltd and equity matching DJI index in the same portfolio.

Hachsharat Hayishuv Volatility Indicators

Hachsharat Hayishuv Hotels Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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