Ingram Micro Risk Analysis

Ingram Micro Inc -- USA Stock  

USD 2,972  0.00  0.00%

Macroaxis considers Ingram Micro to be unknown risk. Ingram Micro Inc holds Efficiency (Sharpe) Ratio of -0.2802 which attests that Ingram Micro Inc had -0.2802% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Ingram Micro Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Ingram Micro Market Risk Adjusted Performance of 0.344 and Risk Adjusted Performance of (0.079554) to validate risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Ingram Micro Market Sensitivity

As returns on market increase, returns on owning Ingram Micro are expected to decrease at a much smaller rate. During bear market, Ingram Micro is likely to outperform the market.
One Month Beta |Analyze Ingram Micro Inc Demand Trend
Check current 30 days Ingram Micro correlation with market (DOW)
β = -0.4728
Ingram Micro Almost negative betaIngram Micro Inc Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Ingram Micro Inc has beta of -0.4728 . This indicates as returns on benchmark increase, returns on holding Ingram Micro are expected to decrease at a much smaller rate. During bear market, however, Ingram Micro Inc is likely to outperform the market. Additionally, Ingram Micro Inc 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 
Allowing for the 30-days total investment horizon, the coefficient of variation of Ingram Micro is -356.85. The daily returns are destributed with a variance of 0.29 and standard deviation of 0.54. The mean deviation of Ingram Micro Inc is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.07
βBeta against DOW=0.47
σ
Overall volatility
=0.54
 IrInformation ratio =0.71

Actual Return Volatility

Ingram Micro Inc accepts 0.5376% volatility on return distribution over the 30 days horizon. DOW inherits 0.2576% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ingram Micro Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Total Debt

Ingram Micro Inc Total Debt History

Total Debt

Largest Trends

Ingram Micro Largest Period Trend
 0.00 
  
 0.00 
0.00  ?%
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Lowest period price (30 days)
 3,028 
  
 3,028 
0.00  0.00%
Highest period price (30 days)

Investment Outlook

Ingram Micro Investment Opportunity
Ingram Micro Inc has a volatility of 0.54 and is 2.08 times more volatile than DOW. 5% of all equities and portfolios are less risky than Ingram Micro. Compared to the overall equity markets, volatility of historical daily returns of Ingram Micro Inc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Ingram Micro Inc to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Ingram Micro to be traded at $2942.29 in 30 days. As returns on market increase, returns on owning Ingram Micro are expected to decrease at a much smaller rate. During bear market, Ingram Micro is likely to outperform the market.

Ingram Micro correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Ingram Micro Inc and equity matching DJI index in the same portfolio.

Volatility Indicators

Ingram Micro Current Risk Indicators