We consider Menora Mivtachim not too risky. Menora Mivtachim Hol has Sharpe Ratio of 0.0601 which conveys that Menora Mivtachim Hol had 0.0601% 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 1.73, Mean Deviation of 1.36 and Risk Adjusted Performance of 0.0665 to check out if risk estimate we provide are consistent with the epected return of 0.1409%.
|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 = 0.186
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 0.186 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, Menora Mivtachim Holdings Ltd has an alpha of 0.1137 implying that it can potentially generate 0.1137% 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 1664.45. The daily returns are destributed with a variance of 5.5 and standard deviation of 2.34. The mean deviation of Menora Mivtachim Holdings Ltd is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.11|
|Beta against DOW||=||0.19|
Menora Mivtachim Return VolatilityMenora Mivtachim Holdings Ltd accepts 2.3444% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
Menora Mivtachim Holdings Ltd has a volatility of 2.34 and is 1.83 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Menora Mivtachim Holdings Ltd to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Menora Mivtachim to be traded at S4339.44 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