HRB40 13 (Israel) Risk Analysis And Volatility Evaluation

HRB40-13 -- Israel ETF  

ILS 300.60  0.60  0.20%

Our approach to determining volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for HRB40 13 which you can use to evaluate future volatility of the entity. Please check out HRB40-13 Market Risk Adjusted Performance of 0.12 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

HRB40 13 Market Sensitivity

As returns on market increase, HRB40 13 returns are expected to increase less than the market. However during bear market, the loss on holding HRB40 13 will be expected to be smaller as well.
One Month Beta |Analyze HRB40-13 Demand Trend
Check current 30 days HRB40 13 correlation with market (DOW)
β = 0.0065
HRB40 13 Small BetaHRB40-13 Beta Legend

HRB40-13 Technical Analysis

Transformation
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HRB40 13 Projected Return Density Against Market

Assuming 30 trading days horizon, HRB40 13 has beta of 0.0065 . This indicates as returns on market go up, HRB40 13 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding HRB40-13 will be expected to be much smaller as well. Additionally, HRB40-13 has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0002
β
Beta against DOW=0.0065
σ
Overall volatility
=0.00
Ir
Information ratio =0.75

HRB40 13 Return Volatility

HRB40-13 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

HRB40 13 Investment Opportunity

DOW has a standard deviation of returns of 1.07 and is 9.223372036854776E16 times more volatile than HRB40-13. 0% of all equities and portfolios are less risky than HRB40 13. Compared to the overall equity markets, volatility of historical daily returns of HRB40-13 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use HRB40-13 to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of HRB40 13 to be traded at S315.63 in 30 days. As returns on market increase, HRB40 13 returns are expected to increase less than the market. However during bear market, the loss on holding HRB40 13 will be expected to be smaller as well.

HRB40 13 correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding HRB40-13 and equity matching DJI index in the same portfolio.

HRB40 13 Volatility Indicators

HRB40-13 Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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