Israel Land (Israel) Risk Analysis And Volatility Evaluation

ILDA -- Israel Stock  

null 168.20  0.00  0.00%

Macroaxis considers Israel Land unknown risk given 1 month investment horizon. Israel Land Development holds Efficiency (Sharpe) Ratio of 0.0765 which attests that Israel Land Development had 0.0765% of return per unit of risk over the last 1 month. 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 Israel Land Development which you can use to evaluate future volatility of the corporation. Please utilize Israel Land Market Risk Adjusted Performance of 1.71 and Risk Adjusted Performance of 0.29 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Israel Land Market Sensitivity

As returns on market increase, returns on owning Israel Land are expected to decrease at a much smaller rate. During bear market, Israel Land is likely to outperform the market.
One Month Beta |Analyze Israel Land Development Demand Trend
Check current 30 days Israel Land correlation with market (DOW)
β = -0.4402
Israel Land Almost negative betaIsrael Land Development Beta Legend

Israel Land Development Technical Analysis

Transformation
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Israel Land Projected Return Density Against Market

Assuming 30 trading days horizon, Israel Land Development Alpha Ltd has beta of -0.4402 . This indicates as returns on benchmark increase, returns on holding Israel Land are expected to decrease at a much smaller rate. During bear market, however, Israel Land Development Alpha Ltd is likely to outperform the market. Additionally, Israel Land Development Alpha 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 Israel Land is 1307.92. The daily returns are destributed with a variance of 10.97 and standard deviation of 3.31. The mean deviation of Israel Land Development Alpha Ltd is currently at 2.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.82
β
Beta against DOW=0.44
σ
Overall volatility
=3.31
Ir
Information ratio =0.21

Israel Land Return Volatility

Israel Land Development Alpha Ltd accepts 3.3116% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Israel Land Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Israel Land Investment Opportunity

Israel Land Development Alpha Ltd has a volatility of 3.31 and is 3.12 times more volatile than DOW. 30% of all equities and portfolios are less risky than Israel Land. Compared to the overall equity markets, volatility of historical daily returns of Israel Land Development Alpha Ltd is lower than 30 (%) of all global equities and portfolios over the last 30 days. Use Israel Land Development Alpha Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Israel Land to be traded at 166.52 in 30 days. As returns on market increase, returns on owning Israel Land are expected to decrease at a much smaller rate. During bear market, Israel Land is likely to outperform the market.

Israel Land correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Israel Land Development Alpha and equity matching DJI index in the same portfolio.

Israel Land Volatility Indicators

Israel Land Development Alpha Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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