Bank Leumi (Israel) Risk Analysis And Volatility

LUMI -- Israel Stock  

ILS 2,411  9.00  0.37%

We consider Bank Leumi unknown risk. Bank Leumi le secures Sharpe Ratio (or Efficiency) of 0.0491 which signifies that the organization had 0.0491% 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 Leumi le Israel B M which you can use to evaluate future volatility of the firm. Please confirm Bank Leumi le Risk Adjusted Performance of 0.0388, Mean Deviation of 0.8018 and Downside Deviation of 1.18 to double-check if risk estimate we provide are consistent with the epected return of 0.0577%.

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Odds

60 Days Economic Sensitivity

Insignificant
Horizon     30 Days    Login   to change

Bank Leumi Market Sensitivity

As returns on market increase, returns on owning Bank Leumi are expected to decrease at a much smaller rate. During bear market, Bank Leumi is likely to outperform the market.
2 Months Beta |Analyze Bank Leumi le Demand Trend
Check current 30 days Bank Leumi correlation with market (DOW)
β = -0.0632

Bank Leumi Central Daily Price Deviation

Bank Leumi le Technical Analysis

Transformation
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Bank Leumi Projected Return Density Against Market

Assuming 30 trading days horizon, Bank Leumi le Israel B M has beta of -0.0632 indicating as returns on benchmark increase, returns on holding Bank Leumi are expected to decrease at a much smaller rate. During bear market, however, Bank Leumi le Israel B M is likely to outperform the market. Moreover, The company has an alpha of 0.0432 implying that it can potentially generate 0.0432% 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 Leumi is 2036.41. The daily returns are destributed with a variance of 1.38 and standard deviation of 1.18. The mean deviation of Bank Leumi le Israel B M is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 0.7
α
Alpha over DOW
=0.0432
β
Beta against DOW=0.06
σ
Overall volatility
=1.18
Ir
Information ratio =0.0373

Bank Leumi Return Volatility

the company accepts 1.1755% volatility on return distribution over the 30 days horizon. the entity inherits 0.6518% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Bank Leumi Investment Opportunity

Bank Leumi le Israel B M has a volatility of 1.18 and is 1.82 times more volatile than DOW. 10% of all equities and portfolios are less risky than Bank Leumi. Compared to the overall equity markets, volatility of historical daily returns of Bank Leumi le Israel B M is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Bank Leumi le Israel B M to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Bank Leumi to be traded at S2386.89 in 30 days. . As returns on market increase, returns on owning Bank Leumi are expected to decrease at a much smaller rate. During bear market, Bank Leumi is likely to outperform the market.

Bank Leumi correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bank Leumi le Israel B M and equity matching DJI index in the same portfolio.

Bank Leumi Current Risk Indicators

Bank Leumi Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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