Altshuler Shaham (Israel) Volatility
| ALTF Stock | 615.60 11.00 1.76% |
Altshuler Shaham appears to be very steady, given 3 months investment horizon. Altshuler Shaham Fin secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of risk over the last 3 months. By analyzing Altshuler Shaham's technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please makes use of Altshuler Shaham's Risk Adjusted Performance of 0.1938, mean deviation of 1.75, and Downside Deviation of 1.81 to double-check if our risk estimates are consistent with your expectations. Key indicators related to Altshuler Shaham's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Altshuler Shaham Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Altshuler daily returns, and it is calculated using variance and standard deviation. We also use Altshuler's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Altshuler Shaham volatility.
Altshuler |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Altshuler Shaham can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Altshuler Shaham at lower prices to lower their average cost per share. Similarly, when the prices of Altshuler Shaham's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with Altshuler Stock
| 0.9 | PFLT | PennantPark Floating Rate | PairCorr |
| 0.92 | GNRS | Generation Capital | PairCorr |
| 0.7 | MTDS | Meitav Dash Investments | PairCorr |
| 0.92 | IBI | IBI Inv House | PairCorr |
| 0.9 | MISH | Mivtach Shamir | PairCorr |
| 0.8 | MPP | More Provident Funds | PairCorr |
| 0.66 | EMDV | Emilia Devel | PairCorr |
| 0.85 | MRIN | YD More Investments | PairCorr |
Moving against Altshuler Stock
Altshuler Shaham Market Sensitivity And Downside Risk
Altshuler Shaham's beta coefficient measures the volatility of Altshuler stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Altshuler stock's returns against your selected market. In other words, Altshuler Shaham's beta of 0.66 provides an investor with an approximation of how much risk Altshuler Shaham stock can potentially add to one of your existing portfolios. Altshuler Shaham Financial has relatively low volatility with skewness of 0.36 and kurtosis of 0.13. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Altshuler Shaham's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Altshuler Shaham's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Altshuler Shaham Fin Demand TrendCheck current 90 days Altshuler Shaham correlation with market (Dow Jones Industrial)Altshuler Beta |
Altshuler standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 2.28 |
It is essential to understand the difference between upside risk (as represented by Altshuler Shaham's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Altshuler Shaham's daily returns or price. Since the actual investment returns on holding a position in altshuler stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Altshuler Shaham.
Altshuler Shaham Fin Stock Volatility Analysis
Volatility refers to the frequency at which Altshuler Shaham stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Altshuler Shaham's price changes. Investors will then calculate the volatility of Altshuler Shaham's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Altshuler Shaham's volatility:
Historical Volatility
This type of stock volatility measures Altshuler Shaham's fluctuations based on previous trends. It's commonly used to predict Altshuler Shaham's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Altshuler Shaham's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Altshuler Shaham's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Altshuler Shaham Fin 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.
Altshuler Shaham Projected Return Density Against Market
Assuming the 90 days trading horizon Altshuler Shaham has a beta of 0.6616 . This suggests as returns on the market go up, Altshuler Shaham average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Altshuler Shaham Financial will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Altshuler Shaham or Financial Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Altshuler Shaham's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Altshuler stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Altshuler Shaham Financial has an alpha of 0.5131, implying that it can generate a 0.51 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an Altshuler Shaham Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Altshuler Shaham Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Altshuler Shaham is 431.38. The daily returns are distributed with a variance of 5.2 and standard deviation of 2.28. The mean deviation of Altshuler Shaham Financial is currently at 1.79. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | 0.51 | |
β | Beta against Dow Jones | 0.66 | |
σ | Overall volatility | 2.28 | |
Ir | Information ratio | 0.22 |
Altshuler Shaham Stock Return Volatility
Altshuler Shaham historical daily return volatility represents how much of Altshuler Shaham stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.2813% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7349% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Altshuler Shaham Volatility
Volatility is a rate at which the price of Altshuler Shaham or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Altshuler Shaham may increase or decrease. In other words, similar to Altshuler's beta indicator, it measures the risk of Altshuler Shaham and helps estimate the fluctuations that may happen in a short period of time. So if prices of Altshuler Shaham fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.3 ways to utilize Altshuler Shaham's volatility to invest better
Higher Altshuler Shaham's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Altshuler Shaham Fin stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Altshuler Shaham Fin stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Altshuler Shaham Fin investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Altshuler Shaham's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Altshuler Shaham's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Altshuler Shaham Investment Opportunity
Altshuler Shaham Financial has a volatility of 2.28 and is 3.12 times more volatile than Dow Jones Industrial. 20 percent of all equities and portfolios are less risky than Altshuler Shaham. You can use Altshuler Shaham Financial to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Altshuler Shaham to be traded at 597.13 in 90 days.Modest diversification
The correlation between Altshuler Shaham Financial and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Altshuler Shaham Financial and DJI in the same portfolio, assuming nothing else is changed.
Altshuler Shaham Additional Risk Indicators
The analysis of Altshuler Shaham's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Altshuler Shaham's investment and either accepting that risk or mitigating it. Along with some common measures of Altshuler Shaham stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1938 | |||
| Market Risk Adjusted Performance | 0.8609 | |||
| Mean Deviation | 1.75 | |||
| Semi Deviation | 1.39 | |||
| Downside Deviation | 1.81 | |||
| Coefficient Of Variation | 386.04 | |||
| Standard Deviation | 2.21 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Altshuler Shaham Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Altshuler Shaham as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Altshuler Shaham's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Altshuler Shaham's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Altshuler Shaham Financial.
Complementary Tools for Altshuler Stock analysis
When running Altshuler Shaham's price analysis, check to measure Altshuler Shaham's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Altshuler Shaham is operating at the current time. Most of Altshuler Shaham's value examination focuses on studying past and present price action to predict the probability of Altshuler Shaham's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Altshuler Shaham's price. Additionally, you may evaluate how the addition of Altshuler Shaham to your portfolios can decrease your overall portfolio volatility.
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