I D (Israel) Risk Analysis And Volatility Evaluation

IDIN -- Israel Stock  

ILS 21,370  60.00  0.28%

Macroaxis considers I D to be unknown risk. I D I holds Efficiency (Sharpe) Ratio of -0.3693 which attests that I D I had -0.3693% of return per unit of return volatility over the last 1 month. 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, returns on owning I D are expected to decrease at a much smaller rate. During bear market, I D is likely to outperform the market.
One Month Beta |Analyze I D I Demand Trend
Check current 30 days I D correlation with market (DOW)
β = -0.0021
I D Almost negative betaI D I Beta Legend

I D I Technical Analysis

Transformation
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I D Projected Return Density Against Market

Assuming 30 trading days horizon, I D I Insurance Company Ltd has beta of -0.0021 . This indicates as returns on benchmark increase, returns on holding I D are expected to decrease at a much smaller rate. During bear market, however, I D I Insurance Company Ltd is likely to outperform the market. 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 -270.78. The daily returns are destributed with a variance of 0.71 and standard deviation of 0.84. The mean deviation of I D I Insurance Company Ltd is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.16
β
Beta against DOW=0.0021
σ
Overall volatility
=0.84
Ir
Information ratio =0.0089

I D Return Volatility

I D I Insurance Company Ltd accepts 0.8397% volatility on return distribution over the 30 days horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

I D Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

I D Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 1.26 times more volatile than I D I Insurance Company Ltd. 7% 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 7 (%) of all global equities and portfolios over the last 30 days.

I D Volatility Indicators

I D I Insurance Company Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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