Itamar Medical (Israel) Risk Analysis And Volatility Evaluation

ITMR -- Israel Stock  

ILS 136.40  2.20  1.59%

Macroaxis considers Itamar Medical unknown risk given 1 month investment horizon. Itamar Medical holds Efficiency (Sharpe) Ratio of 0.3066 which attests that Itamar Medical had 0.3066% 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 Itamar Medical which you can use to evaluate future volatility of the corporation. Please utilize Itamar Medical Downside Deviation of 1.2, Market Risk Adjusted Performance of 1.42 and Risk Adjusted Performance of 0.2819 to validate if our risk estimates are consistent with your expectations.
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.
One Month Beta |Analyze Itamar Medical Demand Trend
Check current 30 days Itamar Medical correlation with market (DOW)
β = 0.2724
Itamar Medical Small BetaItamar Medical Beta Legend

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 0.2724 . 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. Moreover, Itamar Medical Ltd has an alpha of 0.4346 implying that it can potentially generate 0.4346% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Itamar Medical is 326.15. The daily returns are destributed with a variance of 2.59 and standard deviation of 1.61. The mean deviation of Itamar Medical Ltd is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.43
β
Beta against DOW=0.27
σ
Overall volatility
=1.61
Ir
Information ratio =0.37

Itamar Medical Return Volatility

Itamar Medical Ltd accepts 1.6084% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Itamar Medical Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Itamar Medical Investment Opportunity

Itamar Medical Ltd has a volatility of 1.61 and is 1.52 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Itamar Medical Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Itamar Medical to be traded at S132.31 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

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 Money Managers module to screen money managers from public funds and etfs managed around the world.
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