Inter Industries (Israel) Risk Analysis And Volatility Evaluation

ININ -- Israel Stock  

ILS 466.00  9.00  1.89%

Macroaxis considers Inter Industries to be unknown risk. Inter Industries holds Efficiency (Sharpe) Ratio of -0.4311 which attests that Inter Industries had -0.4311% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. Inter Industries exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Inter Industries Market Risk Adjusted Performance of (4.31) and Risk Adjusted Performance of (0.32) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Inter Industries Market Sensitivity

As returns on market increase, Inter Industries returns are expected to increase less than the market. However during bear market, the loss on holding Inter Industries will be expected to be smaller as well.
2 Months Beta |Analyze Inter Industries Demand Trend
Check current 30 days Inter Industries correlation with market (DOW)
β = 0.059

Inter Industries Central Daily Price Deviation

Inter Industries Technical Analysis

Transformation
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Inter Industries Projected Return Density Against Market

Assuming 30 trading days horizon, Inter Industries has beta of 0.059 . This indicates as returns on market go up, Inter Industries average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Inter Industries Ltd will be expected to be much smaller as well. Additionally, Inter Industries 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 Inter Industries is -231.96. The daily returns are destributed with a variance of 0.99 and standard deviation of 1.0. The mean deviation of Inter Industries Ltd is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.25
β
Beta against DOW=0.06
σ
Overall volatility
=1.00
Ir
Information ratio =0.14

Inter Industries Return Volatility

Inter Industries Ltd accepts 0.997% volatility on return distribution over the 30 days horizon. DOW inherits 1.2829% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Inter Industries Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Inter Industries Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 1.28 times more volatile than Inter Industries Ltd. 9% of all equities and portfolios are less risky than Inter Industries. Compared to the overall equity markets, volatility of historical daily returns of Inter Industries Ltd is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Inter Industries Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Inter Industries to be traded at S452.02 in 30 days. As returns on market increase, Inter Industries returns are expected to increase less than the market. However during bear market, the loss on holding Inter Industries will be expected to be smaller as well.

Inter Industries correlation with market

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

Inter Industries Volatility Indicators

Inter Industries Ltd Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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