TACHLIT INDICES (Israel) Risk Analysis And Volatility

TCH
TCH-F3 -- Israel ETF  

ILA 2,443  3.00  0.12%

Macroaxis considers TACHLIT INDICES very steady given 3 months investment horizon. TACHLIT INDICES MU retains Efficiency (Sharpe Ratio) of 0.1882 which indicates the etf had 0.1882% of return per unit of volatility over the last 3 months. Our way of 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 TACHLIT INDICES which you can use to evaluate future volatility of the entity. Please operate TACHLIT INDICES MU Standard Deviation of 2.16, Mean Deviation of 1.52 and Market Risk Adjusted Performance of (19.65) to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

TACHLIT INDICES Market Sensitivity

As returns on market increase, returns on owning TACHLIT INDICES are expected to decrease at a much smaller rate. During bear market, TACHLIT INDICES is likely to outperform the market.
3 Months Beta |Analyze TACHLIT INDICES MU Demand Trend
Check current 30 days TACHLIT INDICES correlation with market (DOW)
β = -0.0216

TACHLIT INDICES Central Daily Price Deviation

TACHLIT INDICES MU Technical Analysis

Transformation
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TACHLIT INDICES Projected Return Density Against Market

Assuming 30 trading days horizon, TACHLIT INDICES MU has beta of -0.0216 . This entails as returns on benchmark increase, returns on holding TACHLIT INDICES are expected to decrease at a much smaller rate. During bear market, however, TACHLIT INDICES MU is likely to outperform the market. Moreover, The company has an alpha of 0.4259 implying that it can potentially generate 0.4259% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
    
  Returns 
Assuming 30 trading days horizon, the coefficient of variation of TACHLIT INDICES is 531.28. The daily returns are destributed with a variance of 3.92 and standard deviation of 1.98. The mean deviation of TACHLIT INDICES MU is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.43
β
Beta against DOW=0.02
σ
Overall volatility
=1.98
Ir
Information ratio =0.17

TACHLIT INDICES Return Volatility

the entity accepts 1.979% volatility on return distribution over the 30 days horizon. the entity inherits 0.5306% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

TACHLIT INDICES Investment Opportunity

TACHLIT INDICES MU has a volatility of 1.98 and is 3.74 times more volatile than DOW. 17  of all equities and portfolios are less risky than TACHLIT INDICES. Compared to the overall equity markets, volatility of historical daily returns of TACHLIT INDICES MU is lower than 17 () of all global equities and portfolios over the last 30 days. Use TACHLIT INDICES MU to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of TACHLIT INDICES to be traded at 2565.15 in 30 days. . As returns on market increase, returns on owning TACHLIT INDICES are expected to decrease at a much smaller rate. During bear market, TACHLIT INDICES is likely to outperform the market.

TACHLIT INDICES correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding TACHLIT INDICES MU and equity matching DJI index in the same portfolio.

TACHLIT INDICES Current Risk Indicators

TACHLIT INDICES Suggested Diversification Pairs

Additionally take a look at World Market Map. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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