Hamat Group (Israel) Risk Analysis And Volatility Evaluation

HAMAT -- Israel Stock  

ILS 1,075  2.00  0.19%

Macroaxis considers Hamat Group to be unknown risk. Hamat Group Ltd holds Efficiency (Sharpe) Ratio of -0.1353 which attests that Hamat Group Ltd had -0.1353% 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. Hamat Group Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Hamat Group Risk Adjusted Performance of 0.01 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Hamat Group Ltd Technical Analysis

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Hamat Group Projected Return Density Against Market

Assuming 30 trading days horizon, Hamat Group has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Hamat Group are completely uncorrelated. Furthermore, Hamat Group LtdIt does not look like Hamat Group alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Hamat Group is -739.35. The daily returns are destributed with a variance of 0.98 and standard deviation of 0.99. The mean deviation of Hamat Group Ltd is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Hamat Group Return Volatility

Hamat Group Ltd accepts 0.9876% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Hamat Group Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity


Investment Outlook

Hamat Group Investment Opportunity

DOW has a standard deviation of returns of 1.08 and is 1.09 times more volatile than Hamat Group Ltd. 8% of all equities and portfolios are less risky than Hamat Group. Compared to the overall equity markets, volatility of historical daily returns of Hamat Group Ltd is lower than 8 (%) of all global equities and portfolios over the last 30 days.

Hamat Group Volatility Indicators

Hamat Group Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. 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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