Itau Fundo (Brazil) Volatility
| IFRI11 Fund | 91.29 1.80 1.93% |
Itau Fundo De holds Efficiency (Sharpe) Ratio of -0.21, which attests that the entity had a -0.21% return per unit of risk over the last 3 months. Itau Fundo De exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Itau Fundo's Market Risk Adjusted Performance of 0.8232, risk adjusted performance of (0.15), and Standard Deviation of 0.8067 to validate the risk estimate we provide.
Itau |
Itau Fundo Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Itau daily returns, and it is calculated using variance and standard deviation. We also use Itau's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Itau Fundo volatility.
Downward market volatility can be a perfect environment for investors who play the long game with Itau Fundo. They may decide to buy additional shares of Itau Fundo at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Itau Fundo Market Sensitivity And Downside Risk
Itau Fundo's beta coefficient measures the volatility of Itau fund compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Itau fund's returns against your selected market. In other words, Itau Fundo's beta of -0.21 provides an investor with an approximation of how much risk Itau Fundo fund can potentially add to one of your existing portfolios. Itau Fundo De exhibits very low volatility with skewness of -0.16 and kurtosis of -0.15. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Itau Fundo's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Itau Fundo's fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Itau Fundo De Demand TrendCheck current 90 days Itau Fundo correlation with market (Dow Jones Industrial)Itau Beta |
Itau standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 0.83 |
It is essential to understand the difference between upside risk (as represented by Itau Fundo's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Itau Fundo's daily returns or price. Since the actual investment returns on holding a position in itau fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Itau Fundo.
Itau Fundo De Fund Volatility Analysis
Volatility refers to the frequency at which Itau Fundo fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Itau Fundo's price changes. Investors will then calculate the volatility of Itau Fundo's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Itau Fundo's volatility:
Historical Volatility
This type of fund volatility measures Itau Fundo's fluctuations based on previous trends. It's commonly used to predict Itau Fundo's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Itau Fundo's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Itau Fundo's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Itau Fundo De Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Itau Fundo Projected Return Density Against Market
Assuming the 90 days trading horizon Itau Fundo De has a beta of -0.2103 . This usually indicates as returns on the benchmark increase, returns on holding Itau Fundo are expected to decrease at a much lower rate. During a bear market, however, Itau Fundo De is likely to outperform the market.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Itau Fundo or Hybrid Mix Funds sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Itau Fundo's price will be affected by overall fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Itau fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Itau Fundo De has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives an Itau Fundo Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Itau Fundo Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Itau Fundo is -481.41. The daily returns are distributed with a variance of 0.68 and standard deviation of 0.83. The mean deviation of Itau Fundo De is currently at 0.65. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.15 | |
β | Beta against Dow Jones | -0.21 | |
σ | Overall volatility | 0.83 | |
Ir | Information ratio | -0.34 |
Itau Fundo Fund Return Volatility
Itau Fundo historical daily return volatility represents how much of Itau Fundo fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 0.8254% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7483% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Itau Fundo Investment Opportunity
Itau Fundo De has a volatility of 0.83 and is 1.11 times more volatile than Dow Jones Industrial. 7 percent of all equities and portfolios are less risky than Itau Fundo. You can use Itau Fundo De to protect your portfolios against small market fluctuations. The fund experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Itau Fundo to be traded at 88.55 in 90 days.Good diversification
The correlation between Itau Fundo De and DJI is -0.2 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Itau Fundo De and DJI in the same portfolio, assuming nothing else is changed.
Itau Fundo Additional Risk Indicators
The analysis of Itau Fundo's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Itau Fundo's investment and either accepting that risk or mitigating it. Along with some common measures of Itau Fundo fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.15) | |||
| Market Risk Adjusted Performance | 0.8232 | |||
| Mean Deviation | 0.6339 | |||
| Coefficient Of Variation | (500.99) | |||
| Standard Deviation | 0.8067 | |||
| Variance | 0.6507 | |||
| Information Ratio | (0.34) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Itau Fundo Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Itau Fundo as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Itau Fundo's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Itau Fundo's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Itau Fundo De.
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