IShares Currency Expected Short fall
| HSCZ Etf | | | USD 38.40 -0.85 -2.17% |
This module presents the Expected Short fall indicator for iShares Currency Hedged using available market inputs. The indicator computation uses normalized market activity data.
Risk vs Return Analysis frames the approach to diversified portfolio design. The portfolio structure determines how individual positions contribute to the whole. This captures an allocation to iShares Currency Hedged. This is part of the broader portfolio composition. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as various price indices.
iShares Currency Hedged has current Expected Short fall of 0. Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL).
Expected Shortfall | = | Conditional VAR |
| = | 0 | |
Expected Short fall Peers Comparison
Expected Short fall Relative To Other Indicators
iShares Currency Hedged is rated
below average in expected short fall compared to similar ETFs. It is currently under evaluation in maximum drawdown compared to similar ETFs .
ES evaluates the value (or risk) of an investment in a conservative way, focusing on the less profitable outcomes. For high values of it ignores the most profitable but unlikely possibilities, for small values of it focuses on the worst losses. On the other hand, unlike the discounted maximum loss even for lower values of expected shortfall does not consider only the single most catastrophic outcome. Expected shortfall is a coherent, and moreover a spectral, measure of financial portfolio risk.
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