Bank of Jerusalem Ltd (Israel) Risk Analysis And Volatility Evaluation

JBNK -- Israel Stock  

ILS 675.00  4.90  0.73%

Macroaxis considers Bank of Jerusalem Ltd unknown risk given 2 months investment horizon. Bank of Jerusalem Ltd secures Sharpe Ratio (or Efficiency) of 0.3551 which signifies that Bank of Jerusalem Ltd had 0.3551% 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 makes use of Bank of Jerusalem Ltd Downside Deviation of 0.9015, Risk Adjusted Performance of 0.3377 and Mean Deviation of 0.7009 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Bank of Jerusalem Ltd Market Sensitivity

As returns on market increase, returns on owning Bank of Jerusalem Ltd are expected to decrease at a much smaller rate. During bear market, Bank of Jerusalem Ltd is likely to outperform the market.
2 Months Beta |Analyze Bank of Jerusalem Ltd Demand Trend
Check current 30 days Bank of Jerusalem Ltd correlation with market (DOW)
β = -0.1751

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 -0.1751 . This indicates as returns on benchmark increase, returns on holding Bank of Jerusalem Ltd are expected to decrease at a much smaller rate. During bear market, however, Bank of Jerusalem Ltd is likely to outperform the market. Moreover, Bank of Jerusalem Ltd has an alpha of 0.2176 implying that it can potentially generate 0.2176% 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 281.6. The daily returns are destributed with a variance of 1.43 and standard deviation of 1.19. The mean deviation of Bank of Jerusalem Ltd is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.22
β
Beta against DOW=0.18
σ
Overall volatility
=1.19
Ir
Information ratio =0.40

Bank of Jerusalem Ltd Return Volatility

Bank of Jerusalem Ltd accepts 1.1949% volatility on return distribution over the 30 days horizon. DOW inherits 1.3062% 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

DOW has a standard deviation of returns of 1.31 and is 1.1 times more volatile than Bank of Jerusalem Ltd. 10% 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 10 (%) 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 moderate upward volatility. Check odds of Bank of Jerusalem Ltd to be traded at S742.5 in 30 days. As returns on market increase, returns on owning Bank of Jerusalem Ltd are expected to decrease at a much smaller rate. During bear market, Bank of Jerusalem Ltd is likely to outperform the market.

Bank of Jerusalem Ltd correlation with market

correlation synergy
Very good 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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