Macroaxis considers IPGK F unknown risk given 2 months investment horizon. IPGK F holds Efficiency (Sharpe) Ratio of 0.2335 which attests that IPGK F had 0.2335% of return per unit of risk over the last 2 months. Our philosophy towards determining volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. By examining IPGK F technical indicators you can today evaluate if the expected return of 0.536% is justified by implied risk. Please utilize IPGK F Market Risk Adjusted Performance of
(2.15) and Risk Adjusted Performance of (0.25) to validate if our risk estimates are consistent with your expectations.
|Horizon||30 Days Login to change|
IPGK F Market Sensitivity
|As returns on market increase, IPGK F returns are expected to increase less than the market. However during bear market, the loss on holding IPGK F will be expected to be smaller as well.2 Months Beta |Analyze IPGK F Demand TrendCheck current 30 days IPGK F correlation with market (DOW)|
β = 0.3662
IPGK F Central Daily Price Deviation
IPGK F Technical Analysis
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IPGK F Projected Return Density Against MarketAssuming 30 trading days horizon, IPGK F has beta of 0.3662 . This indicates as returns on market go up, IPGK F average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IPGK F will be expected to be much smaller as well. Additionally, IPGK F 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
Assuming 30 trading days horizon, the coefficient of variation of IPGK F is 428.3. The daily returns are destributed with a variance of 5.27 and standard deviation of 2.3. The mean deviation of IPGK F is currently at 1.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.75|
|Beta against DOW||=||0.37|
IPGK F Return VolatilityIPGK F assumes 2.2956% volatility of returns over the 30 days investment horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
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IPGK F has a volatility of 2.3 and is 1.8 times more volatile than DOW. 20% of all equities and portfolios are less risky than IPGK F. Compared to the overall equity markets, volatility of historical daily returns of IPGK F is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use IPGK F to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of IPGK F to be traded at 48.86 in 30 days. As returns on market increase, IPGK F returns are expected to increase less than the market. However during bear market, the loss on holding IPGK F will be expected to be smaller as well.
IPGK F correlation with market
Please also check Risk vs Return Analysis. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.