Migdal Insurance (Israel) Risk Analysis And Volatility Evaluation

MGDL -- Israel Stock  

ILS 426.90  6.00  1.39%

Macroaxis considers Migdal Insurance not too risky given 1 month investment horizon. Migdal Insurance and has Sharpe Ratio of 0.1496 which conveys that Migdal Insurance and had 0.1496% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Migdal Insurance which you can use to evaluate future volatility of the firm. Please exercise Migdal Insurance and Financial Holdings Ltd Downside Deviation of 1.49, Mean Deviation of 1.23 and Risk Adjusted Performance of 0.3662 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Migdal Insurance Market Sensitivity

As returns on market increase, returns on owning Migdal Insurance are expected to decrease at a much smaller rate. During bear market, Migdal Insurance is likely to outperform the market.
One Month Beta |Analyze Migdal Insurance and Demand Trend
Check current 30 days Migdal Insurance correlation with market (DOW)
β = -0.3797
Migdal Insurance Almost negative betaMigdal Insurance and Beta Legend

Migdal Insurance and Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Migdal Insurance and 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 and Financial Holdings Ltd has beta of -0.3797 indicating as returns on benchmark increase, returns on holding Migdal Insurance are expected to decrease at a much smaller rate. During bear market, however, Migdal Insurance and Financial Holdings Ltd is likely to outperform the market. Moreover, Migdal Insurance and Financial Holdings Ltd has an alpha of 0.4332 implying that it can potentially generate 0.4332% 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 668.65. The daily returns are destributed with a variance of 2.77 and standard deviation of 1.66. The mean deviation of Migdal Insurance and Financial Holdings Ltd is currently at 1.31. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.43
β
Beta against DOW=0.38
σ
Overall volatility
=1.66
Ir
Information ratio =0.44

Migdal Insurance Return Volatility

Migdal Insurance and Financial Holdings Ltd accepts 1.6641% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Migdal Insurance Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Almost neglects market trends

Investment Outlook

Migdal Insurance Investment Opportunity

Migdal Insurance and Financial Holdings Ltd has a volatility of 1.66 and is 1.6 times more volatile than DOW. 15% 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 15 (%) of all global equities and portfolios over the last 30 days. Use Migdal Insurance and Financial Holdings Ltd to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Migdal Insurance to be traded at S414.09 in 30 days. As returns on market increase, returns on owning Migdal Insurance are expected to decrease at a much smaller rate. During bear market, Migdal Insurance is likely to outperform the market.

Migdal Insurance correlation with market

Very good 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

Please see also Stocks Correlation. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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