TCMR 14 (Israel) Risk Analysis And Volatility Evaluation

TCMR-14 -- Israel ETF  

ILS 3,021  4.70  0.16%

Our approach into 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 TCMR-14 which you can use to evaluate future volatility of the entity. Please validate TCMR 14 Risk Adjusted Performance of 0.020741 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

TCMR 14 Market Sensitivity

As returns on market increase, TCMR 14 returns are expected to increase less than the market. However during bear market, the loss on holding TCMR 14 will be expected to be smaller as well.
One Month Beta |Analyze TCMR-14 Demand Trend
Check current 30 days TCMR 14 correlation with market (DOW)
β = 0.0267
TCMR 14 Small BetaTCMR-14 Beta Legend

TCMR-14 Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

TCMR 14 Projected Return Density Against Market

Assuming 30 trading days horizon, TCMR 14 has beta of 0.0267 . This entails as returns on market go up, TCMR 14 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TCMR-14 will be expected to be much smaller as well. Moreover, TCMR-14 has an alpha of 0.0017 implying that it can potentially generate 0.0017% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0017
β
Beta against DOW=0.0267
σ
Overall volatility
=0.00
Ir
Information ratio =1.67

TCMR 14 Return Volatility

TCMR-14 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0635% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

TCMR 14 Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 9.223372036854776E16 times more volatile than TCMR-14. 0% of all equities and portfolios are less risky than TCMR 14. Compared to the overall equity markets, volatility of historical daily returns of TCMR-14 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TCMR-14 to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of TCMR 14 to be traded at S3171.95 in 30 days. As returns on market increase, TCMR 14 returns are expected to increase less than the market. However during bear market, the loss on holding TCMR 14 will be expected to be smaller as well.

TCMR 14 correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding TCMR-14 and equity matching DJI index in the same portfolio.

TCMR 14 Volatility Indicators

TCMR-14 Current Risk Indicators

Also please take a look at World Market Map. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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