TCNSD 37 (Israel) Risk Analysis And Volatility Evaluation

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 TCNSD-37 which you can use to evaluate future volatility of the entity. Please validate TCNSD 37 Risk Adjusted Performance of 0.1254 and Market Risk Adjusted Performance of (1.03) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

TCNSD 37 Market Sensitivity

As returns on market increase, returns on owning TCNSD 37 are expected to decrease at a much smaller rate. During bear market, TCNSD 37 is likely to outperform the market.
2 Months Beta |Analyze TCNSD-37 Demand Trend
Check current 30 days TCNSD 37 correlation with market (DOW)
β = -0.0723

TCNSD 37 Central Daily Price Deviation

TCNSD-37 Technical Analysis

Transformation
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TCNSD 37 Projected Return Density Against Market

Assuming 30 trading days horizon, TCNSD-37 has beta of -0.0723 . This entails as returns on benchmark increase, returns on holding TCNSD 37 are expected to decrease at a much smaller rate. During bear market, however, TCNSD-37 is likely to outperform the market. Moreover, TCNSD-37 has an alpha of 0.0666 implying that it can potentially generate 0.0666% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.07
β
Beta against DOW=0.07
σ
Overall volatility
=0.00
Ir
Information ratio =0.23

TCNSD 37 Return Volatility

TCNSD-37 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

TCNSD 37 Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 9.223372036854776E16 times more volatile than TCNSD-37. 0% of all equities and portfolios are less risky than TCNSD 37. Compared to the overall equity markets, volatility of historical daily returns of TCNSD-37 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TCNSD-37 to protect against small markets fluctuations. The etf experiences very speculative upward sentiment.. Check odds of TCNSD 37 to be traded at S0.0 in 30 days. As returns on market increase, returns on owning TCNSD 37 are expected to decrease at a much smaller rate. During bear market, TCNSD 37 is likely to outperform the market.

TCNSD 37 correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding TCNSD-37 and equity matching DJI index in the same portfolio.

TCNSD 37 Volatility Indicators

TCNSD-37 Current Risk Indicators

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