Migdal Insurance (Israel) Risk Analysis And Volatility

MGDL -- Israel Stock  

ILS 355.50  9.20  2.52%

Macroaxis considers Migdal Insurance unknown risk given 2 months investment horizon. Migdal Insurance has Sharpe Ratio of 0.2795 which conveys that the firm had 0.2795% of return per unit of risk over the last 2 months. 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. By analyzing Migdal Insurance technical indicators you can presently evaluate if the expected return of 0.5253% is justified by implied risk. Please exercise Migdal Insurance and Financial Holdings Ltd Risk Adjusted Performance of (0.05) and Mean Deviation of 1.92 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, 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 = 0.6792

Migdal Insurance Central Daily Price Deviation

Migdal Insurance Technical Analysis

Transformation
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Migdal Insurance Projected Return Density Against Market

Assuming 30 trading days horizon, Migdal Insurance has beta of 0.6792 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Migdal Insurance is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Migdal Insurance is 357.78. The daily returns are destributed with a variance of 3.53 and standard deviation of 1.88. The mean deviation of Migdal Insurance and Financial Holdings Ltd is currently at 1.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.29
β
Beta against DOW=0.68
σ
Overall volatility
=1.88
Ir
Information ratio =0.11

Migdal Insurance Return Volatility

the company accepts 1.8796% 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

Migdal Insurance Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Migdal Insurance Investment Opportunity

Migdal Insurance and Financial Holdings Ltd has a volatility of 1.88 and is 2.72 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use Migdal Insurance and Financial Holdings Ltd to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Migdal Insurance to be traded at S341.28 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

Please see also Stocks Correlation. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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