KSMS SP2 (Israel) Risk Analysis And Volatility Evaluation

KSMS-SP2 -- Israel ETF  

ILS 2,224  128.00  5.44%

Our approach towards estimating 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 KSMS SP2 which you can use to evaluate future volatility of the organization. Please verify KSMS-SP2 Risk Adjusted Performance of 0.1466 and Mean Deviation of 0.9963 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

KSMS SP2 Market Sensitivity

As returns on market increase, KSMS SP2 returns are expected to increase less than the market. However during bear market, the loss on holding KSMS SP2 will be expected to be smaller as well.
One Month Beta |Analyze KSMS-SP2 Demand Trend
Check current 30 days KSMS SP2 correlation with market (DOW)
β = 0.2672
KSMS SP2 Small BetaKSMS-SP2 Beta Legend

KSMS-SP2 Technical Analysis

Transformation
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KSMS SP2 Projected Return Density Against Market

Assuming 30 trading days horizon, KSMS SP2 has beta of 0.2672 indicating as returns on market go up, KSMS SP2 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding KSMS-SP2 will be expected to be much smaller as well. Moreover, KSMS-SP2 has an alpha of 0.312 implying that it can potentially generate 0.312% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.31
β
Beta against DOW=0.27
σ
Overall volatility
=0.00
Ir
Information ratio =0.21

KSMS SP2 Return Volatility

KSMS-SP2 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Risk-Return Analysis

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Investment Outlook

KSMS SP2 Investment Opportunity

DOW has a standard deviation of returns of 1.04 and is 9.223372036854776E16 times more volatile than KSMS-SP2. 0% of all equities and portfolios are less risky than KSMS SP2. Compared to the overall equity markets, volatility of historical daily returns of KSMS-SP2 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use KSMS-SP2 to protect against small markets fluctuations. The etf experiences very speculative upward sentiment.. Check odds of KSMS SP2 to be traded at S2112.8 in 30 days. As returns on market increase, KSMS SP2 returns are expected to increase less than the market. However during bear market, the loss on holding KSMS SP2 will be expected to be smaller as well.

KSMS SP2 correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding KSMS-SP2 and equity matching DJI index in the same portfolio.

KSMS SP2 Volatility Indicators

KSMS-SP2 Current Risk Indicators

Please see also Stocks Correlation. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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