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 0.0125 and Coefficient Of Variation of 12997.15 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, TMDCP 87 returns are expected to increase less than the market. However during bear market, the loss on holding TMDCP 87 will be expected to be smaller as well.
2 Months Beta |Analyze TMDCP-87 Demand Trend
Check current 30 days TMDCP 87 correlation with market (DOW)
β = 0.0025

TMDCP 87 Central Daily Price Deviation

TMDCP-87 Technical Analysis

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TMDCP 87 Projected Return Density Against Market

Assuming 30 trading days horizon, TMDCP 87 has beta of 0.0025 . This entails as returns on market go up, TMDCP 87 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TMDCP-87 will be expected to be much smaller as well. Moreover, TMDCP-87 has an alpha of 0.0035 implying that it can potentially generate 0.0035% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Alpha over DOW
Beta against DOW=0.0025
Overall volatility
Information ratio =0.11

TMDCP 87 Return Volatility

TMDCP-87 accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2898% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

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Investment Outlook

TMDCP 87 Investment Opportunity

DOW has a standard deviation of returns of 1.29 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.

TMDCP 87 Volatility Indicators

TMDCP-87 Current Risk Indicators

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