IPGK F (Germany) Risk Analysis And Volatility Evaluation

IPGK -- Germany ETF  

EUR 47.33  0.28  0.59%

Macroaxis considers IPGK F to be unknown risk. IPGK F holds Efficiency (Sharpe) Ratio of -0.5442 which attests that IPGK F had -0.5442% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. IPGK F exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out IPGK F Market Risk Adjusted Performance of 268.76 and Risk Adjusted Performance of 0.34 to validate risk estimate we provide.
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.
One Month Beta |Analyze IPGK F Demand Trend
Check current 30 days IPGK F correlation with market (DOW)
β = 0.0048
IPGK F Small BetaIPGK F Beta Legend

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 0.0048 . 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 -183.75. The daily returns are destributed with a variance of 18.78 and standard deviation of 4.33. The mean deviation of IPGK F is currently at 3.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=1.29
β
Beta against DOW=0.0048
σ
Overall volatility
=4.33
Ir
Information ratio =0.28

IPGK F Return Volatility

IPGK F assumes 4.3336% volatility of returns over the 30 days investment horizon. DOW inherits 1.0404% 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 4.33 and is 4.16 times more volatile than DOW. 39% 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 39 (%) of all global equities and portfolios over the last 30 days.
Please also check Risk vs Return Analysis. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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