SPDR MSCI Expected Short fall
| WIND Etf | | | EUR 77.06 -1.11 -1.42% |
Historical market data for SPDR MSCI World forms the basis of the Expected Short fall indicator shown here. Related indicator context is organized within
Equity Screeners.
Your Current Watchlist frames the approach to diversified portfolio design. The portfolio structure determines how individual positions contribute to the whole. Portfolio tools allow users to monitor SPDR MSCI World alongside other positions. Portfolio construction methods define how positions are sized relative to each other. Broader economic conditions can influence SPDR MSCI World's etf valuation — related indicators include
signals in inflation.
SPDR MSCI World has current Expected Short fall of
-0.65. 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 |
| = | -0.65 | |
Expected Short fall Peers Comparison
Expected Short fall Relative To Other Indicators
SPDR MSCI World is rated
below average in expected short fall across the ETF category. It maintains a
second standing in maximum drawdown across the ETF category .
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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