PIBOX 77 (Israel) Risk Analysis And Volatility Evaluation

PIBOX-77 -- Israel ETF  

ILS 2,492  15.34  0.61%

Our philosophy towards forecasting 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 PIBOX 77 which you can use to evaluate future volatility of the etf. Please check PIBOX-77 Semi Deviation of 0.3424 and Market Risk Adjusted Performance of (0.1) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

PIBOX 77 Market Sensitivity

As returns on market increase, PIBOX 77 returns are expected to increase less than the market. However during bear market, the loss on holding PIBOX 77 will be expected to be smaller as well.
2 Months Beta |Analyze PIBOX-77 Demand Trend
Check current 30 days PIBOX 77 correlation with market (DOW)
β = 0.085

PIBOX 77 Central Daily Price Deviation

PIBOX-77 Technical Analysis

Transformation
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PIBOX 77 Projected Return Density Against Market

Assuming 30 trading days horizon, PIBOX 77 has beta of 0.085 . This implies as returns on market go up, PIBOX 77 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PIBOX-77 will be expected to be much smaller as well. Moreover, PIBOX-77 has an alpha of 7.0E-4 implying that it can potentially generate 7.0E-4% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0007
β
Beta against DOW=0.09
σ
Overall volatility
=0.00
Ir
Information ratio =0.25

PIBOX 77 Return Volatility

PIBOX-77 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Fundamental Analysis

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Investment Outlook

PIBOX 77 Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 9.223372036854776E16 times more volatile than PIBOX-77. 0% of all equities and portfolios are less risky than PIBOX 77. Compared to the overall equity markets, volatility of historical daily returns of PIBOX-77 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use PIBOX-77 to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of PIBOX 77 to be traded at S2442.39 in 30 days. As returns on market increase, PIBOX 77 returns are expected to increase less than the market. However during bear market, the loss on holding PIBOX 77 will be expected to be smaller as well.

PIBOX 77 correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding PIBOX-77 and equity matching DJI index in the same portfolio.

PIBOX 77 Volatility Indicators

PIBOX-77 Current Risk Indicators

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