MBNK 18 (Israel) Risk Analysis And Volatility

MBNK-18 -- Israel ETF  

ILS 13,680  260.00  1.87%

Our way of 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 MBNK 18 which you can use to evaluate future volatility of the entity. Please verify MBNK-18 Market Risk Adjusted Performance of 0.0057 and Mean Deviation of 0.7888 to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

MBNK 18 Market Sensitivity

As returns on market increase, MBNK 18 returns are expected to increase less than the market. However during bear market, the loss on holding MBNK 18 will be expected to be smaller as well.
2 Months Beta |Analyze MBNK-18 Demand Trend
Check current 30 days MBNK 18 correlation with market (DOW)
β = 0.6021

MBNK 18 Central Daily Price Deviation

MBNK-18 Technical Analysis

Transformation
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MBNK 18 Projected Return Density Against Market

Assuming 30 trading days horizon, MBNK 18 has beta of 0.6021 indicating as returns on market go up, MBNK 18 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MBNK-18 will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. MBNK-18 is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.06
β
Beta against DOW=0.60
σ
Overall volatility
=0.00
Ir
Information ratio =0.08

MBNK 18 Return Volatility

the entity accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 0.6967% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

MBNK 18 Investment Opportunity

DOW has a standard deviation of returns of 0.7 and is 9.223372036854776E16 times more volatile than MBNK-18. 0% of all equities and portfolios are less risky than MBNK 18. Compared to the overall equity markets, volatility of historical daily returns of MBNK-18 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use MBNK-18 to protect your portfolios against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of MBNK 18 to be traded at S13269.6 in 30 days. . As returns on market increase, MBNK 18 returns are expected to increase less than the market. However during bear market, the loss on holding MBNK 18 will be expected to be smaller as well.

MBNK 18 correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding MBNK-18 and equity matching DJI index in the same portfolio.

MBNK 18 Volatility Indicators

MBNK-18 Current Risk Indicators

Please see also Stocks Correlation. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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