Menora Mivtachim (Israel) Risk Analysis And Volatility Evaluation

MMHD -- Israel Stock  

ILS 4,204  44.00  1.04%

Macroaxis considers Menora Mivtachim to be not too risky. Menora Mivtachim Hol has Sharpe Ratio of -0.0954 which conveys that Menora Mivtachim Hol had -0.0954% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Menora Mivtachim exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Menora Mivtachim Holdings Ltd Downside Deviation of 1.55, Mean Deviation of 0.995 and Risk Adjusted Performance of 0.01 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Menora Mivtachim Hol Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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 average price price transform indicator.

Menora Mivtachim Projected Return Density Against Market

Assuming 30 trading days horizon, Menora Mivtachim has beta of 0.0 indicating unless we do not have required data, the returns on DOW and Menora Mivtachim are completely uncorrelated. Furthermore, Menora Mivtachim Holdings LtdIt does not look like Menora Mivtachim alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Menora Mivtachim is -1048.76. The daily returns are destributed with a variance of 2.38 and standard deviation of 1.54. The mean deviation of Menora Mivtachim Holdings Ltd is currently at 1.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.54
Ir
Information ratio =0.00

Menora Mivtachim Return Volatility

Menora Mivtachim Holdings Ltd accepts 1.5429% volatility on return distribution over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Menora Mivtachim 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

Menora Mivtachim Investment Opportunity

Menora Mivtachim Holdings Ltd has a volatility of 1.54 and is 1.47 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days.

Menora Mivtachim Volatility Indicators

Menora Mivtachim Holdings Ltd Current Risk Indicators

Please see also Stocks Correlation. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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