We consider Menora Mivtachim very steady. Menora Mivtachim Hol has Sharpe Ratio of 0.0725 which conveys that the firm had 0.0725% 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. We have found twenty-one technical indicators for Menora Mivtachim which you can use to evaluate future volatility of the firm. Please verify Menora Mivtachim Holdings Ltd Downside Deviation of 1.59, Risk Adjusted Performance of 0.1197 and Mean Deviation of 1.2 to check out if risk estimate we provide are consistent with the epected return of 0.1379%.
60 Days Market Risk
Chance of Distress in 24 months
60 Days Economic Sensitivity
Follows market closely
|Horizon||30 Days Login to change|
Menora Mivtachim Market Sensitivity
|As returns on market increase, Menora Mivtachim returns are expected to increase less than the market. However during bear market, the loss on holding Menora Mivtachim will be expected to be smaller as well. 2 Months Beta |Analyze Menora Mivtachim Hol Demand TrendCheck current 30 days Menora Mivtachim correlation with market (DOW)|
β = 0.5688
Menora Mivtachim Central Daily Price Deviation
Menora Mivtachim Hol Technical Analysis
Menora Mivtachim Projected Return Density Against MarketAssuming 30 trading days horizon, Menora Mivtachim has beta of 0.5688 indicating as returns on market go up, Menora Mivtachim average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Menora Mivtachim Holdings Ltd will be expected to be much smaller as well. Moreover, The company has an alpha of 0.2597 implying that it can potentially generate 0.2597% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Menora Mivtachim is 1379.48. The daily returns are destributed with a variance of 3.62 and standard deviation of 1.9. The mean deviation of Menora Mivtachim Holdings Ltd is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.65
|Alpha over DOW||=||0.26|
|Beta against DOW||=||0.57|
Menora Mivtachim Return Volatilitythe company accepts 1.9023% volatility on return distribution over the 30 days horizon. the entity inherits 0.5908% risk (volatility on return distribution) over the 30 days horizon.
Menora Mivtachim Investment Opportunity
Menora Mivtachim Holdings Ltd has a volatility of 1.9 and is 3.22 times more volatile than DOW. 17% of all equities and portfolios are less risky than Menora Mivtachim. Compared to the overall equity markets, volatility of historical daily returns of Menora Mivtachim Holdings Ltd is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Menora Mivtachim Holdings Ltd to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Menora Mivtachim to be traded at S5205.2 in 30 days. . As returns on market increase, Menora Mivtachim returns are expected to increase less than the market. However during bear market, the loss on holding Menora Mivtachim will be expected to be smaller as well.
Menora Mivtachim correlation with market
Menora Mivtachim Current Risk Indicators
|Risk Adjusted Performance||0.1197|
|Market Risk Adjusted Performance||0.5477|
|Coefficient Of Variation||577.81|
Menora Mivtachim Suggested Diversification Pairs