Itamar Medical (Israel) Risk Analysis And Volatility

ITMR -- Israel Stock  

ILS 134.60  3.00  0.02%

Macroaxis considers Itamar Medical to be unknown risk. Itamar Medical holds Efficiency (Sharpe) Ratio of -0.0051 which attests that the entity had -0.0051% 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. Itamar Medical exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Itamar Medical Market Risk Adjusted Performance of (0.29) and Risk Adjusted Performance of (0.026804) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Itamar Medical Market Sensitivity

As returns on market increase, Itamar Medical returns are expected to increase less than the market. However during bear market, the loss on holding Itamar Medical will be expected to be smaller as well.
2 Months Beta |Analyze Itamar Medical Demand Trend
Check current 30 days Itamar Medical correlation with market (DOW)
β = 0.1558

Itamar Medical Central Daily Price Deviation

Itamar Medical Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Itamar Medical Projected Return Density Against Market

Assuming 30 trading days horizon, Itamar Medical has beta of 0.1558 . This indicates as returns on market go up, Itamar Medical average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Itamar Medical Ltd will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Itamar Medical is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Itamar Medical is -19644.71. The daily returns are destributed with a variance of 5.55 and standard deviation of 2.35. The mean deviation of Itamar Medical Ltd is currently at 1.64. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.04
β
Beta against DOW=0.16
σ
Overall volatility
=2.35
Ir
Information ratio =0.0042

Itamar Medical Return Volatility

the company accepts 2.3548% volatility on return distribution over the 30 days horizon. the entity inherits 1.9746% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Itamar Medical Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Itamar Medical Investment Opportunity

Itamar Medical Ltd has a volatility of 2.35 and is 1.19 times more volatile than DOW. 21% of all equities and portfolios are less risky than Itamar Medical. Compared to the overall equity markets, volatility of historical daily returns of Itamar Medical Ltd is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Itamar Medical Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Itamar Medical to be traded at S141.33 in 30 days. . As returns on market increase, Itamar Medical returns are expected to increase less than the market. However during bear market, the loss on holding Itamar Medical will be expected to be smaller as well.

Itamar Medical correlation with market

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

Itamar Medical Volatility Indicators

Itamar Medical 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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