TSP50 38 (Israel) Risk Analysis And Volatility Evaluation

TSP50-38 -- Israel ETF  

ILS 2,278  20.00  0.89%

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 TSP50-38 which you can use to evaluate future volatility of the etf. Please validate TSP50 38 Risk Adjusted Performance of 0.205 and Coefficient Of Variation of 506.49 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

TSP50 38 Market Sensitivity

As returns on market increase, TSP50 38 returns are expected to increase less than the market. However during bear market, the loss on holding TSP50 38 will be expected to be smaller as well.
One Month Beta |Analyze TSP50-38 Demand Trend
Check current 30 days TSP50 38 correlation with market (DOW)
β = 0.0799
TSP50 38 Small BetaTSP50-38 Beta Legend

TSP50-38 Technical Analysis

Transformation
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TSP50 38 Projected Return Density Against Market

Assuming 30 trading days horizon, TSP50 38 has beta of 0.0799 . This entails as returns on market go up, TSP50 38 average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TSP50-38 will be expected to be much smaller as well. Moreover, TSP50-38 has an alpha of 0.1164 implying that it can potentially generate 0.1164% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.12
β
Beta against DOW=0.08
σ
Overall volatility
=0.00
Ir
Information ratio =0.51

TSP50 38 Return Volatility

TSP50-38 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

TSP50 38 Investment Opportunity

DOW has a standard deviation of returns of 1.06 and is 9.223372036854776E16 times more volatile than TSP50-38. 0% of all equities and portfolios are less risky than TSP50 38. Compared to the overall equity markets, volatility of historical daily returns of TSP50-38 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use TSP50-38 to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of TSP50 38 to be traded at S2505.8 in 30 days. As returns on market increase, TSP50 38 returns are expected to increase less than the market. However during bear market, the loss on holding TSP50 38 will be expected to be smaller as well.

TSP50 38 correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding TSP50-38 and equity matching DJI index in the same portfolio.

TSP50 38 Volatility Indicators

TSP50-38 Current Risk Indicators

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