TA75KSM SAL (Israel) Risk Analysis And Volatility Evaluation

KST75-20 -- Israel ETF  

ILS 922.20  8.40  0.92%

Our philosophy towards measuring 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 TA75KSM SAL which you can use to evaluate future volatility of the entity. Please validate TA75KSM SAL S20 Market Risk Adjusted Performance of 1.83 and Standard Deviation of 0.1942 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

TA75KSM SAL Market Sensitivity

As returns on market increase, returns on owning TA75KSM SAL are expected to decrease at a much smaller rate. During bear market, TA75KSM SAL is likely to outperform the market.
One Month Beta |Analyze TA75KSM SAL S20 Demand Trend
Check current 30 days TA75KSM SAL correlation with market (DOW)
β = -0.0283
TA75KSM SAL Almost negative betaTA75KSM SAL S20 Beta Legend

TA75KSM SAL S20 Technical Analysis

Transformation
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TA75KSM SAL Projected Return Density Against Market

Assuming 30 trading days horizon, TA75KSM SAL S20 has beta of -0.0283 indicating as returns on benchmark increase, returns on holding TA75KSM SAL are expected to decrease at a much smaller rate. During bear market, however, TA75KSM SAL S20 is likely to outperform the market. Additionally, TA75KSM SAL S20 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
=0.05
β
Beta against DOW=0.03
σ
Overall volatility
=0.00
Ir
Information ratio =0.06

TA75KSM SAL Return Volatility

TA75KSM SAL S20 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Price Ceiling Movement

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Investment Outlook

TA75KSM SAL Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 9.223372036854776E16 times more volatile than TA75KSM SAL S20. 0% of all equities and portfolios are less risky than TA75KSM SAL. Compared to the overall equity markets, volatility of historical daily returns of TA75KSM SAL S20 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TA75KSM SAL S20 to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of TA75KSM SAL to be traded at S1014.42 in 30 days. As returns on market increase, returns on owning TA75KSM SAL are expected to decrease at a much smaller rate. During bear market, TA75KSM SAL is likely to outperform the market.

TA75KSM SAL correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding TA75KSM SAL S20 and equity matching DJI index in the same portfolio.

TA75KSM SAL Volatility Indicators

TA75KSM SAL S20 Current Risk Indicators

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