Shaniv Paper (Israel) Risk Analysis And Volatility Evaluation

SHAN -- Israel Stock  

ILS 312.00  28.80  10.17%

We consider Shaniv Paper not too risky. Shaniv Paper Industry owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0279 which indicates Shaniv Paper Industry had 0.0279% of return per unit of risk over the last 2 months. Our philosophy towards measuring 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 Shaniv Paper Industry Ltd which you can use to evaluate future volatility of the company. Please validate Shaniv Paper Semi Deviation of 0.7455, Coefficient Of Variation of 1606.21 and Risk Adjusted Performance of 0.0831 to confirm if risk estimate we provide are consistent with the epected return of 0.0605%.
Horizon     30 Days    Login   to change

Shaniv Paper Market Sensitivity

As returns on market increase, Shaniv Paper returns are expected to increase less than the market. However during bear market, the loss on holding Shaniv Paper will be expected to be smaller as well.
2 Months Beta |Analyze Shaniv Paper Industry Demand Trend
Check current 30 days Shaniv Paper correlation with market (DOW)
β = 0.2068

Shaniv Paper Central Daily Price Deviation

Shaniv Paper Industry Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Shaniv Paper Industry 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.

Shaniv Paper Projected Return Density Against Market

Assuming 30 trading days horizon, Shaniv Paper has beta of 0.2068 . This entails as returns on market go up, Shaniv Paper average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Shaniv Paper Industry Ltd will be expected to be much smaller as well. Moreover, Shaniv Paper Industry Ltd has an alpha of 0.1279 implying that it can potentially generate 0.1279% 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 Shaniv Paper is 3582.43. The daily returns are destributed with a variance of 4.7 and standard deviation of 2.17. The mean deviation of Shaniv Paper Industry Ltd is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.13
β
Beta against DOW=0.21
σ
Overall volatility
=2.17
Ir
Information ratio =0.12

Shaniv Paper Return Volatility

Shaniv Paper Industry Ltd accepts 2.1684% volatility on return distribution over the 30 days horizon. DOW inherits 1.3014% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Shaniv Paper Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

60 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Shaniv Paper Investment Opportunity

Shaniv Paper Industry Ltd has a volatility of 2.17 and is 1.67 times more volatile than DOW. 19% of all equities and portfolios are less risky than Shaniv Paper. Compared to the overall equity markets, volatility of historical daily returns of Shaniv Paper Industry Ltd is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Shaniv Paper Industry Ltd to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Shaniv Paper to be traded at S390.0 in 30 days. As returns on market increase, Shaniv Paper returns are expected to increase less than the market. However during bear market, the loss on holding Shaniv Paper will be expected to be smaller as well.

Shaniv Paper correlation with market

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

Shaniv Paper Volatility Indicators

Shaniv Paper Industry Ltd Current Risk Indicators

Also please take a look at World Market Map. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
Search macroaxis.com