Mizrahi Tefahot (Israel) Risk Analysis And Volatility

MZTF -- Israel Stock  

ILS 7,773  28.00  0.36%

We consider Mizrahi Tefahot unknown risk. Mizrahi Tefahot Bank has Sharpe Ratio of 0.113 which conveys that the firm had 0.113% 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 technical indicators for Mizrahi Tefahot which you can use to evaluate future volatility of the firm. Please verify Mizrahi Tefahot Bank Ltd Risk Adjusted Performance of 0.01, Mean Deviation of 1.24 and Downside Deviation of 1.32 to check out if risk estimate we provide are consistent with the epected return of 0.1511%.

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Odds

60 Days Economic Sensitivity

Horizon     30 Days    Login   to change

Mizrahi Tefahot Bank Technical Analysis

We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Mizrahi Tefahot Projected Return Density Against Market

Assuming 30 trading days horizon, Mizrahi Tefahot has beta of 0.0 indicating the returns on DOW and Mizrahi Tefahot do not appear to be sensitive. Furthermore, It does not look like the company alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of Mizrahi Tefahot is 885.12. The daily returns are destributed with a variance of 1.79 and standard deviation of 1.34. The mean deviation of Mizrahi Tefahot Bank Ltd is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.00

Mizrahi Tefahot Return Volatility

the company accepts 1.3377% volatility on return distribution over the 30 days horizon. the entity inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Mizrahi Tefahot Investment Opportunity

Mizrahi Tefahot Bank Ltd has a volatility of 1.34 and is 2.0 times more volatile than DOW. 11% of all equities and portfolios are less risky than Mizrahi Tefahot. Compared to the overall equity markets, volatility of historical daily returns of Mizrahi Tefahot Bank Ltd is lower than 11 (%) of all global equities and portfolios over the last 30 days.

Mizrahi Tefahot Current Risk Indicators

Mizrahi Tefahot Suggested Diversification Pairs

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