HRSPH 74 (Israel) Risk Analysis And Volatility Evaluation

HRSPH-74 -- Israel ETF  

ILS 2,771  31.00  1.13%

Our approach towards 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 HRSPH-74 which you can use to evaluate future volatility of the entity. Please check out HRSPH 74 Risk Adjusted Performance of 0.0631 and Market Risk Adjusted Performance of 0.3546 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

HRSPH 74 Market Sensitivity

As returns on market increase, HRSPH 74 returns are expected to increase less than the market. However during bear market, the loss on holding HRSPH 74 will be expected to be smaller as well.
2 Months Beta |Analyze HRSPH-74 Demand Trend
Check current 30 days HRSPH 74 correlation with market (DOW)
β = 0.0918

HRSPH 74 Central Daily Price Deviation

HRSPH-74 Technical Analysis

Transformation
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HRSPH 74 Projected Return Density Against Market

Assuming 30 trading days horizon, HRSPH 74 has beta of 0.0918 . This indicates as returns on market go up, HRSPH 74 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding HRSPH-74 will be expected to be much smaller as well. Moreover, HRSPH-74 has an alpha of 0.0423 implying that it can potentially generate 0.0423% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0423
β
Beta against DOW=0.09
σ
Overall volatility
=0.00
Ir
Information ratio =0.19

HRSPH 74 Return Volatility

HRSPH-74 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

HRSPH 74 Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 9.223372036854776E16 times more volatile than HRSPH-74. 0% of all equities and portfolios are less risky than HRSPH 74. Compared to the overall equity markets, volatility of historical daily returns of HRSPH-74 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use HRSPH-74 to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of HRSPH 74 to be traded at S3048.1 in 30 days. As returns on market increase, HRSPH 74 returns are expected to increase less than the market. However during bear market, the loss on holding HRSPH 74 will be expected to be smaller as well.

HRSPH 74 correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding HRSPH-74 and equity matching DJI index in the same portfolio.

HRSPH 74 Volatility Indicators

HRSPH-74 Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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