TCT25 40 (Israel) Risk Analysis And Volatility Evaluation

TCT25-40 -- Israel ETF  

ILS 1,939  9.00  0.47%

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 TCT25-40 which you can use to evaluate future volatility of the entity. Please validate TCT25 40 Risk Adjusted Performance of 0.020196 and Market Risk Adjusted Performance of 0.30 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

TCT25 40 Market Sensitivity

As returns on market increase, TCT25 40 returns are expected to increase less than the market. However during bear market, the loss on holding TCT25 40 will be expected to be smaller as well.
One Month Beta |Analyze TCT25-40 Demand Trend
Check current 30 days TCT25 40 correlation with market (DOW)
β = 0.0309
TCT25 40 Small BetaTCT25-40 Beta Legend

TCT25-40 Technical Analysis

Transformation
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TCT25 40 Projected Return Density Against Market

Assuming 30 trading days horizon, TCT25 40 has beta of 0.0309 . This entails as returns on market go up, TCT25 40 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TCT25-40 will be expected to be much smaller as well. Additionally, TCT25-40 has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0038
β
Beta against DOW=0.0309
σ
Overall volatility
=0.00
Ir
Information ratio =0.51

TCT25 40 Return Volatility

TCT25-40 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0603% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

TCT25 40 Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 9.223372036854776E16 times more volatile than TCT25-40. 0% of all equities and portfolios are less risky than TCT25 40. Compared to the overall equity markets, volatility of historical daily returns of TCT25-40 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TCT25-40 to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of TCT25 40 to be traded at S2035.95 in 30 days. As returns on market increase, TCT25 40 returns are expected to increase less than the market. However during bear market, the loss on holding TCT25 40 will be expected to be smaller as well.

TCT25 40 correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding TCT25-40 and equity matching DJI index in the same portfolio.

TCT25 40 Volatility Indicators

TCT25-40 Current Risk Indicators

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