Bank of Jerusalem Ltd (Israel) Risk Analysis And Volatility

JBNK -- Israel Stock  

ILS 736.40  0.10  0.0136%

We consider Bank of Jerusalem Ltd unknown risk. Bank of Jerusalem Ltd secures Sharpe Ratio (or Efficiency) of 0.1129 which signifies that the organization had 0.1129% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing 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 Bank of Jerusalem Ltd which you can use to evaluate future volatility of the firm. Please confirm Bank of Jerusalem Ltd Mean Deviation of 1.03, Downside Deviation of 1.59 and Risk Adjusted Performance of 0.1703 to double-check if risk estimate we provide are consistent with the epected return of 0.1226%.
Horizon     30 Days    Login   to change

Bank of Jerusalem Ltd Market Sensitivity

As returns on market increase, Bank of Jerusalem Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Bank of Jerusalem Ltd will be expected to be smaller as well.
2 Months Beta |Analyze Bank of Jerusalem Ltd Demand Trend
Check current 30 days Bank of Jerusalem Ltd correlation with market (DOW)
β = 0.0684

Bank of Jerusalem Ltd Central Daily Price Deviation

Bank of Jerusalem Ltd Technical Analysis

Transformation
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Bank of Jerusalem Ltd Projected Return Density Against Market

Assuming 30 trading days horizon, Bank of Jerusalem Ltd has beta of 0.0684 . This indicates as returns on market go up, Bank of Jerusalem Ltd average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Bank of Jerusalem Ltd will be expected to be much smaller as well. Moreover, The company has an alpha of 0.3186 implying that it can potentially generate 0.3186% 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 Bank of Jerusalem Ltd is 886.08. The daily returns are destributed with a variance of 1.18 and standard deviation of 1.09. The mean deviation of Bank of Jerusalem Ltd is currently at 0.73. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.32
β
Beta against DOW=0.07
σ
Overall volatility
=1.09
Ir
Information ratio =0.18

Bank of Jerusalem Ltd Return Volatility

the company accepts 1.0865% volatility on return distribution over the 30 days horizon. the entity inherits 0.6865% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Bank of Jerusalem Ltd Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Bank of Jerusalem Ltd Investment Opportunity

Bank of Jerusalem Ltd has a volatility of 1.09 and is 1.58 times more volatile than DOW. 9% of all equities and portfolios are less risky than Bank of Jerusalem Ltd. Compared to the overall equity markets, volatility of historical daily returns of Bank of Jerusalem Ltd is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Bank of Jerusalem Ltd to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Bank of Jerusalem Ltd to be traded at S773.22 in 30 days. . As returns on market increase, Bank of Jerusalem Ltd returns are expected to increase less than the market. However during bear market, the loss on holding Bank of Jerusalem Ltd will be expected to be smaller as well.

Bank of Jerusalem Ltd correlation with market

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

Bank of Jerusalem Ltd Volatility Indicators

Bank of Jerusalem Ltd Current Risk Indicators

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