IPGK F (Germany) Risk Analysis And Volatility Evaluation

IPGK -- Germany ETF  

EUR 49.35  0.03  0.06%

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 Trend
Check current 30 days IPGK F correlation with market (DOW)
β = 0.3662

IPGK F Central Daily Price Deviation

IPGK F Technical Analysis

Transformation
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IPGK F Projected Return Density Against Market

Assuming 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 
      Returns 
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
α
Alpha over DOW
=0.75
β
Beta against DOW=0.37
σ
Overall volatility
=2.30
Ir
Information ratio =0.17

IPGK F Return Volatility

IPGK 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.
 Performance (%) 
      Timeline 

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Investment Outlook

IPGK F Investment Opportunity

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

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding IPGK F and equity matching DJI index in the same portfolio.

IPGK F Volatility Indicators

IPGK F Current Risk Indicators

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.
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