I D (Israel) Risk Analysis And Volatility Evaluation

IDIN -- Israel Stock  

ILS 20,500  100.00  0.49%

Macroaxis considers I D to be not too risky. I D I holds Efficiency (Sharpe) Ratio of -0.088 which attests that I D I had -0.088% of return per unit of return volatility over the last 2 months. Macroaxis philosophy in 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. I D I exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out I D to validate risk estimate we provide.
Horizon     30 Days    Login   to change

I D Market Sensitivity

As returns on market increase, I D returns are expected to increase less than the market. However during bear market, the loss on holding I D will be expected to be smaller as well.
2 Months Beta |Analyze I D I Demand Trend
Check current 30 days I D correlation with market (DOW)
β = 0.1259

I D Central Daily Price Deviation

I D I Technical Analysis

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

I D Projected Return Density Against Market

Assuming 30 trading days horizon, I D has beta of 0.1259 . This indicates as returns on market go up, I D average returns are expected to increase less than the benchmark. However during bear market, the loss on holding I D I Insurance Company Ltd will be expected to be much smaller as well. Additionally, I D I Insurance Company 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 I D is -1135.8. The daily returns are destributed with a variance of 2.46 and standard deviation of 1.57. The mean deviation of I D I Insurance Company Ltd is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.18
β
Beta against DOW=0.13
σ
Overall volatility
=1.57
Ir
Information ratio =0.03

I D Return Volatility

I D I Insurance Company Ltd accepts 1.5673% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

I D Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

I D Investment Opportunity

I D I Insurance Company Ltd has a volatility of 1.57 and is 1.2 times more volatile than DOW. 14% of all equities and portfolios are less risky than I D. Compared to the overall equity markets, volatility of historical daily returns of I D I Insurance Company Ltd is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use I D I Insurance Company Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of I D to be traded at S21525.0 in 30 days. As returns on market increase, I D returns are expected to increase less than the market. However during bear market, the loss on holding I D will be expected to be smaller as well.

I D correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding I D I Insurance Company Ltd and equity matching DJI index in the same portfolio.

I D Volatility Indicators

I D I Insurance Company Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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