Hamat Group (Israel) Risk Analysis And Volatility Evaluation

HAMAT -- Israel Stock  

ILS 1,076  1.00  0.09%

We consider Hamat Group unknown risk. Hamat Group Ltd holds Efficiency (Sharpe) Ratio of 0.093 which attests that Hamat Group Ltd had 0.093% 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. We have found twenty-one technical indicators for Hamat Group Ltd which you can use to evaluate future volatility of the corporation. Please check out Hamat Group Market Risk Adjusted Performance of 1.02 and Risk Adjusted Performance of (0.09) to validate if risk estimate we provide are consistent with the epected return of 0.1484%.
Horizon     30 Days    Login   to change

Hamat Group Market Sensitivity

As returns on market increase, returns on owning Hamat Group are expected to decrease at a much smaller rate. During bear market, Hamat Group is likely to outperform the market.
2 Months Beta |Analyze Hamat Group Ltd Demand Trend
Check current 30 days Hamat Group correlation with market (DOW)
β = -0.1178

Hamat Group Central Daily Price Deviation

Hamat Group Ltd Technical Analysis

Transformation
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Hamat Group Projected Return Density Against Market

Assuming 30 trading days horizon, Hamat Group Ltd has beta of -0.1178 . This indicates as returns on benchmark increase, returns on holding Hamat Group are expected to decrease at a much smaller rate. During bear market, however, Hamat Group Ltd is likely to outperform the market. Additionally, Hamat Group 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 Hamat Group is 1075.71. The daily returns are destributed with a variance of 2.55 and standard deviation of 1.6. The mean deviation of Hamat Group Ltd is currently at 0.95. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.14
β
Beta against DOW=0.12
σ
Overall volatility
=1.60
Ir
Information ratio =0.0297

Hamat Group Return Volatility

Hamat Group Ltd accepts 1.5967% volatility on return distribution over the 30 days horizon. DOW inherits 1.3081% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hamat Group Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Hamat Group Investment Opportunity

Hamat Group Ltd has a volatility of 1.6 and is 1.22 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Hamat Group Ltd to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Hamat Group to be traded at S1065.24 in 30 days. As returns on market increase, returns on owning Hamat Group are expected to decrease at a much smaller rate. During bear market, Hamat Group is likely to outperform the market.

Hamat Group correlation with market

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

Hamat Group Volatility Indicators

Hamat Group Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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