Hamat Group (Israel) Risk Analysis And Volatility

HAMAT -- Israel Stock  

ILS 920.30  8.40  0.92%

We consider Hamat Group unknown risk. Hamat Group Ltd holds Efficiency (Sharpe) Ratio of 0.0226 which attests that the entity had 0.0226% 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 Risk Adjusted Performance of (0.11) and Market Risk Adjusted Performance of 1.74 to validate if risk estimate we provide are consistent with the epected return of 0.0256%.
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 = -0.1988

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 -0.1988 . 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, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Hamat Group Ltd is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Hamat Group is 4420.82. The daily returns are destributed with a variance of 1.28 and standard deviation of 1.13. The mean deviation of Hamat Group Ltd is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.68
α
Alpha over DOW
=0.31
β
Beta against DOW=0.2
σ
Overall volatility
=1.13
Ir
Information ratio =0.27

Hamat Group Return Volatility

the firm accepts 1.1324% volatility on return distribution over the 30 days horizon. the entity inherits 0.6894% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 
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