Menora Mivtachim (Israel) Risk Analysis And Volatility Evaluation

MMHD -- Israel Stock  

ILS 4,428  40.00  0.90%

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 Trend
Check current 30 days Menora Mivtachim correlation with market (DOW)
β = 0.186

Menora Mivtachim Central Daily Price Deviation

Menora Mivtachim Hol Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Menora Mivtachim Hol 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 avgprice price transform indicator.

Menora Mivtachim Projected Return Density Against Market

Assuming 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 
      Returns 
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
α
Alpha over DOW
=0.11
β
Beta against DOW=0.19
σ
Overall volatility
=2.34
Ir
Information ratio =0.1

Menora Mivtachim Return Volatility

Menora 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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Menora Mivtachim Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Menora Mivtachim Investment Opportunity

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

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Menora Mivtachim Holdings Ltd and equity matching DJI index in the same portfolio.

Menora Mivtachim Volatility Indicators

Menora Mivtachim Holdings Ltd Current Risk Indicators

Please see also Stocks Correlation. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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