TMDCP 87 (Israel) Risk Analysis And Volatility Evaluation

TMDCP-87 -- Israel ETF  

ILS 10,980  290.00  2.71%

Our approach 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 TMDCP-87 which you can use to evaluate future volatility of the etf. Please validate TMDCP 87 Risk Adjusted Performance of 0.0126 and Coefficient Of Variation of 12454.69 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

TMDCP 87 Market Sensitivity

As returns on market increase, returns on owning TMDCP 87 are expected to decrease at a much smaller rate. During bear market, TMDCP 87 is likely to outperform the market.
One Month Beta |Analyze TMDCP-87 Demand Trend
Check current 30 days TMDCP 87 correlation with market (DOW)
β = -0.074
TMDCP 87 Almost negative betaTMDCP-87 Beta Legend

TMDCP-87 Technical Analysis

Transformation
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TMDCP 87 Projected Return Density Against Market

Assuming 30 trading days horizon, TMDCP-87 has beta of -0.074 . This entails as returns on benchmark increase, returns on holding TMDCP 87 are expected to decrease at a much smaller rate. During bear market, however, TMDCP-87 is likely to outperform the market. Additionally, TMDCP-87 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
=0.003
β
Beta against DOW=0.07
σ
Overall volatility
=0.00
Ir
Information ratio =0.06

TMDCP 87 Return Volatility

TMDCP-87 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

TMDCP 87 Investment Opportunity

DOW has a standard deviation of returns of 1.07 and is 9.223372036854776E16 times more volatile than TMDCP-87. 0% of all equities and portfolios are less risky than TMDCP 87. Compared to the overall equity markets, volatility of historical daily returns of TMDCP-87 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TMDCP-87 to enhance returns of your portfolios. The etf experiences unexpected upward trend. Watch out for market signals. Check odds of TMDCP 87 to be traded at S13176.0 in 30 days. As returns on market increase, returns on owning TMDCP 87 are expected to decrease at a much smaller rate. During bear market, TMDCP 87 is likely to outperform the market.

TMDCP 87 correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding TMDCP-87 and equity matching DJI index in the same portfolio.

TMDCP 87 Volatility Indicators

TMDCP-87 Current Risk Indicators

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