Migdal Insurance (Israel) Risk Analysis And Volatility Evaluation

MGDL -- Israel Stock  

ILS 404.00  3.90  0.97%

Macroaxis considers Migdal Insurance to be not too risky. Migdal Insurance has Sharpe Ratio of -0.0541 which conveys that Migdal Insurance had -0.0541% of return per unit of risk over the last 2 months. Macroaxis philosophy towards estimating 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. Migdal Insurance exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Migdal Insurance and Financial Holdings Ltd Downside Deviation of 2.7, Mean Deviation of 1.62 and Risk Adjusted Performance of 0.014 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Migdal Insurance Market Sensitivity

As returns on market increase, Migdal Insurance returns are expected to increase less than the market. However during bear market, the loss on holding Migdal Insurance will be expected to be smaller as well.
2 Months Beta |Analyze Migdal Insurance Demand Trend
Check current 30 days Migdal Insurance correlation with market (DOW)
β = 0.3339

Migdal Insurance Central Daily Price Deviation

Migdal Insurance Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Migdal Insurance Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Migdal Insurance Projected Return Density Against Market

Assuming 30 trading days horizon, Migdal Insurance has beta of 0.3339 indicating as returns on market go up, Migdal Insurance average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Migdal Insurance and Financial Holdings Ltd will be expected to be much smaller as well. Moreover, Migdal Insurance and Financial Holdings Ltd has an alpha of 0.0623 implying that it can potentially generate 0.0623% 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 Migdal Insurance is -1847.29. The daily returns are destributed with a variance of 7.34 and standard deviation of 2.71. The mean deviation of Migdal Insurance and Financial Holdings Ltd is currently at 1.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.06
β
Beta against DOW=0.33
σ
Overall volatility
=2.71
Ir
Information ratio =0.07

Migdal Insurance Return Volatility

Migdal Insurance and Financial Holdings Ltd accepts 2.709% 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

Migdal Insurance Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Migdal Insurance Investment Opportunity

Migdal Insurance and Financial Holdings Ltd has a volatility of 2.71 and is 2.07 times more volatile than DOW. 24% of all equities and portfolios are less risky than Migdal Insurance. Compared to the overall equity markets, volatility of historical daily returns of Migdal Insurance and Financial Holdings Ltd is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Migdal Insurance and Financial Holdings Ltd to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Migdal Insurance to be traded at S444.4 in 30 days. As returns on market increase, Migdal Insurance returns are expected to increase less than the market. However during bear market, the loss on holding Migdal Insurance will be expected to be smaller as well.

Migdal Insurance correlation with market

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

Migdal Insurance Volatility Indicators

Migdal Insurance and Financial Holdings Ltd Current Risk Indicators

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