TACHLIT INDICES (Israel) Risk Analysis And Volatility

TCH
TCH-F72 -- Israel ETF  

ILA 3,950  4.96  0.13%

We consider TACHLIT INDICES very steady. TACHLIT INDICES MU retains Efficiency (Sharpe Ratio) of 0.7303 which indicates the etf had 0.7303% 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 validate TACHLIT INDICES MU Market Risk Adjusted Performance of 19.06, Mean Deviation of 0.1243 and Standard Deviation of 0.1435 to confirm if risk estimate we provide are consistent with the epected return of 0.0994%.
Horizon     30 Days    Login   to change

TACHLIT INDICES Market Sensitivity

As returns on market increase, TACHLIT INDICES returns are expected to increase less than the market. However during bear market, the loss on holding TACHLIT INDICES will be expected to be smaller as well.
3 Months Beta |Analyze TACHLIT INDICES MU Demand Trend
Check current 30 days TACHLIT INDICES correlation with market (DOW)
β = 0.006

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 has beta of 0.006 . This entails as returns on market go up, TACHLIT INDICES average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TACHLIT INDICES MU will be expected to be much smaller as well. Moreover, The company has an alpha of 0.1136 implying that it can potentially generate 0.1136% 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 136.94. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of TACHLIT INDICES MU is currently at 0.12. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.11
β
Beta against DOW=0.006
σ
Overall volatility
=0.14
Ir
Information ratio =0.02

TACHLIT INDICES Return Volatility

the entity accepts 0.1361% volatility on return distribution over the 30 days horizon. the entity inherits 0.4792% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

TACHLIT INDICES Investment Opportunity

DOW has a standard deviation of returns of 0.48 and is 3.43 times more volatile than TACHLIT INDICES MU. 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 1 () of all global equities and portfolios over the last 30 days. Use TACHLIT INDICES MU to protect your portfolios against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of TACHLIT INDICES to be traded at 3910.06 in 30 days. . As returns on market increase, TACHLIT INDICES returns are expected to increase less than the market. However during bear market, the loss on holding TACHLIT INDICES will be expected to be smaller as well.

TACHLIT INDICES correlation with market

correlation synergy
Significant 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

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