STOXX600INDE (Israel) Risk Analysis And Volatility Evaluation

TCSX-126 -- Israel ETF  

ILS 1,244  57.00  4.80%

Our philosophy towards 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 STOXX600INDE S 126 which you can use to evaluate future volatility of the etf. Please validate STOXX600INDE Risk Adjusted Performance of 0.0895 and Coefficient Of Variation of 1539.22 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

STOXX600INDE Market Sensitivity

As returns on market increase, returns on owning STOXX600INDE are expected to decrease at a much smaller rate. During bear market, STOXX600INDE is likely to outperform the market.
2 Months Beta |Analyze STOXX600INDE S 126 Demand Trend
Check current 30 days STOXX600INDE correlation with market (DOW)
β = -0.0086

STOXX600INDE Central Daily Price Deviation

STOXX600INDE S 126 Technical Analysis

Transformation
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STOXX600INDE Projected Return Density Against Market

Assuming 30 trading days horizon, STOXX600INDE S 126 has beta of -0.0086 . This entails as returns on benchmark increase, returns on holding STOXX600INDE are expected to decrease at a much smaller rate. During bear market, however, STOXX600INDE S 126 is likely to outperform the market. Moreover, STOXX600INDE S 126 has an alpha of 0.1931 implying that it can potentially generate 0.1931% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.19
β
Beta against DOW=0.0086
σ
Overall volatility
=0.00
Ir
Information ratio =0.1

STOXX600INDE Return Volatility

STOXX600INDE S 126 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

STOXX600INDE Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 9.223372036854776E16 times more volatile than STOXX600INDE S 126. 0% of all equities and portfolios are less risky than STOXX600INDE. Compared to the overall equity markets, volatility of historical daily returns of STOXX600INDE S 126 is lower than 0 (%) of all global equities and portfolios over the last 30 days.

STOXX600INDE Volatility Indicators

STOXX600INDE S 126 Current Risk Indicators

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