iShares MSCI Intl Etf Volatility
| IMTM Etf | USD 47.59 -0.02 -0.04% |
iShares MSCI Intl retains low price volatility during the last 3 months. The current Sharpe ratio for iShares MSCI Intl is -0.0126, showing that returns did not compensate for risk over the last 3 months. The current risk picture incorporates 27 technical indicators.
Sharpe Ratio = -0.0126
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | IMTM |
iShares MSCI Intl (IMTM) recorded a Market Risk Adjusted Performance of 0.02%, a Risk of 1.34, and a Risk Adjusted Performance of 0.01%. Monthly moving average analysis shows IShares MSCI is not yet reaching its full return potential. A well-diversified portfolio can improve risk-return balance and IShares MSCI overall contribution. Diversification effects can offset IShares MSCI standalone underperformance within a broader allocation.
Key indicators related to IShares MSCI's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
IShares MSCI's volatility is most commonly measured using the annualized standard deviation of daily returns. Beta-adjusted market sensitivity and financial distress probability provide a robust estimate of IShares MSCI's overall risk level. For options traders, IShares MSCI's implied volatility surface provides a forward-looking estimate of future price dispersion.
IShares | Build portfolio with IShares Etf |
Volatility Strategy
iShares MSCI Intl price cycles can influence portfolio-level exposure concentration. Current statistical measures show total volatility near 1.34% with a beta coefficient of 1.1, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0126, evaluates return per unit of total risk. An alpha value of 0.0824 reflects performance relative to systematic market exposure. Expected return estimates near -0.0169% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Deviation from NAV may influence short-term price dispersion.
Main indicators related to IShares MSCI's market risk premium analysis include:
Beta 1.1 | Alpha 0.0824 | Risk 1.34 | Sharpe Ratio -0.01 | Expected Return -0.02 |
Moving together with IShares Etf
| 0.94 | VEA | Vanguard FTSE Developed | PairCorr |
| 0.98 | IEFA | iShares Core MSCI | PairCorr |
| 0.96 | VEU | Vanguard FTSE All | PairCorr |
| 0.98 | EFA | iShares MSCI EAFE | PairCorr |
| 0.97 | IXUS | iShares Core MSCI | PairCorr |
| 0.94 | SPDW | SPDR SAMPP World | PairCorr |
| 0.98 | IDEV | iShares Core MSCI | PairCorr |
| 0.99 | ESGD | iShares ESG Aware | PairCorr |
| 0.98 | JIRE | JP Morgan Exchange | PairCorr |
| 0.92 | DFAX | Dimensional World | PairCorr |
| 0.73 | SIXD | AIM ETF Products | PairCorr |
| 0.82 | PFFL | ETRACS 2xMonthly Pay | PairCorr |
| 0.84 | HD | Home Depot | PairCorr |
Moving against IShares Etf
| 0.39 | VIXY | ProShares VIX Short Downward Rally | PairCorr |
| 0.38 | VXX | iPath Series B Low Volatility | PairCorr |
| 0.33 | VIXM | ProShares VIX Mid Low Volatility | PairCorr |
| 0.33 | VXZ | iPath Series B Low Volatility | PairCorr |
Sensitivity To Market
With a beta of 1.1, iShares MSCI Intl shows measurable correlation with market returns. Beta is statistically defined as the regression slope between asset and benchmark returns. Current volatility is near 1.34%.iShares MSCI Intl return variability over the selected time horizon is summarized by standard deviation (1.29%) and semi-deviation (1.46%). Options markets imply a forward-looking volatility estimate near 25.0%. This reflects comparatively contained forward-looking volatility expectations. ETF price swings can be influenced by underlying holdings liquidity and the gap between market price and NAV. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze iShares MSCI Intl Demand TrendCheck current 90 days IShares MSCI correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of IShares measures how widely its daily prices are dispersed around the mean. High standard deviation points to high volatility; low standard deviation points to price stability. The standard deviation of IShares prices measures volatility as the average daily spread from the mean.
Standard Deviation | 1.34 |
Standard deviation captures both upside and downside movement in IShares MSCI. While standard deviation captures total volatility, downside deviation focuses exclusively on the loss side of IShares MSCI's returns. A complete risk picture of IShares MSCI emerges when standard deviation and downside deviation are examined together. iShares MSCI Intl (IMTM) recorded a Downside Deviation of 1.52, a Downside Variance of 2.30, and a Maximum Drawdown of 6.47.
Using IShares Put Option to Manage Risk Based on 2026-04-17 Contracts
iShares MSCI Intl (IMTM) recorded an Option Implied Volatility of 0.25. Put options on IShares MSCI serve as a defensive tool for investors who want to protect their position in IShares Etf. A put option on IShares Etf gives the investor the right to sell IShares MSCI at a specific price before the contract expires. Put options on IShares MSCI can serve as insurance against adverse price movements in IShares Etf.
IShares MSCI's PUT expiring on 2026-06-18
Profit |
| IShares MSCI Price At Expiration |
Etf Volatility Analysis
IShares MSCI etf volatility is a measure of the speed and extent of IShares MSCI's price movements. A higher-volatility etf like IShares MSCI may generate large gains or losses in a short timeframe. In most cases, the higher the volatility, the riskier the etf.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. iShares MSCI Intl 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.
Projected Return Density Against Market
Given the investment horizon of 90 days IShares MSCI has a beta of 1.1036 . This usually indicates iShares MSCI Intl market returns are highly reactive to returns on the market. As the market goes up or down, IShares MSCI is expected to follow.Systematic exposure aligns IShares MSCI with overall etf market volatility, while unsystematic drivers reflect company or sector-specific developments. iShares MSCI Intl (IMTM) recorded a Downside Deviation of 1.52, a Mean Deviation of 0.95, and an Option Implied Volatility of 0.25.
Predicted Return Distribution |
| Density |
What Drives IShares MSCI's Price Volatility?
Industry Dynamics
Peer results and sector re-ratings in the iShares sector often influence how investors price IShares MSCI's risk.Political and Economic Environment
Macro data and central-bank signals can change valuation assumptions and short-term positioning around IShares MSCI.IShares MSCI's Company-Specific Factors
Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of IShares MSCI is -7935.77. The daily returns are distributed with a variance of 1.79 and standard deviation of 1.34. The mean deviation of iShares MSCI Intl is currently at 0.99. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | 1.10 | |
σ | Overall volatility | 1.34 | |
Ir | Information ratio | 0.06 |
Etf Return Volatility
Daily return volatility for IShares MSCI measures how far etf returns deviate from their average on a day-to-day basis. The ETF shows 1.3382% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8483% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
|
IShares MSCI Constituents Risk-Adjusted Indicators
Evaluating IShares Etf requires separating price momentum from underlying operating strength versus competitors. Risk-adjusted metrics help compare IShares MSCI's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EWC | 0.79 | 0.09 | 0.07 | 0.04 | 1.35 | 1.61 | 5.05 | |||
| IVLU | 0.79 | 0.10 | 0.09 | 0.05 | 1.15 | 1.57 | 5.43 | |||
| DON | 0.65 | 0.05 | 0.07 | -0.01 | 0.82 | 1.60 | 3.56 | |||
| AAXJ | 1.02 | 0.21 | 0.12 | 0.11 | 1.54 | 2.64 | 8.02 | |||
| CGDG | 0.57 | 0.05 | 0.07 | 0.00 | 0.87 | 0.90 | 4.01 | |||
| XT | 0.79 | 0.04 | 0.00 | -0.03 | 0.00 | 1.42 | 4.70 | |||
| ITB | 1.34 | -0.06 | 0.00 | -0.12 | 0.00 | 3.51 | 9.65 | |||
| EMLP | 0.51 | 0.22 | 0.44 | 1.61 | 0.24 | 0.99 | 3.76 | |||
| DEM | 0.72 | 0.14 | 0.16 | 0.13 | 0.95 | 1.57 | 4.66 | |||
| EAGL | 0.71 | -0.02 | 0.00 | -0.10 | 0.00 | 0.88 | 4.45 |
Risk Metrics, Assumptions & Methodology
Volatility for IShares MSCI reflects price dispersion, spread stability, and underlying basket liquidity conditions. Dispersion metrics refine allocation models across asset classes.
Unless otherwise specified, data for iShares MSCI Intl is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardIShares MSCI Investment Opportunity
Recent data suggests that iShares MSCI Intl is meaningfully more volatile than Dow Jones Industrial, by roughly a 1.58x factor. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use iShares MSCI Intl to protect the portfolio against small market fluctuations. This move summary looks at how the current session may translate into a basic near-term setup. It is intended to separate routine noise from more speculative bursts in price action. a normal downward trend and little activity. Check odds of IShares MSCI to be traded at $47.11 in 90 days.Poor diversification
IShares MSCI currently posts a 0.74 correlation with Dow Jones, indicating a Poor diversification relationship for the active sample. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
IShares MSCI Additional Risk Indicators
Looking at additional risk metrics for iShares MSCI Intl frames how the position may behave under different market and portfolio conditions. A disciplined risk review provides context for deciding whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0148 | |||
| Market Risk Adjusted Performance | 0.0168 | |||
| Mean Deviation | 0.9524 | |||
| Semi Deviation | 1.46 | |||
| Downside Deviation | 1.52 | |||
| Coefficient Of Variation | 7379.57 | |||
| Standard Deviation | 1.29 |
IShares MSCI Suggested Diversification Pairs
Pair trading with IShares MSCI can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
Pair diversification lowers overall risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the overall market - cannot be eliminated by pairing IShares MSCI with another position. However, IShares MSCI's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with iShares MSCI Intl.
More Resources for IShares Etf Analysis
Analysis of iShares MSCI Intl often begins with its financial statements and historical patterns. Selected reports below provide context for IShares Etf:Diversification context is available through Risk vs Return Analysis. The dataset reflects available inputs without directional implication. Portfolio analysis tools can evaluate how iShares MSCI Intl fits within a broader allocation. The information is presented without directional commentary. Broader economic conditions can influence iShares MSCI Intl's etf valuation — related indicators include signals in population. IShares MSCI currently shows P/E of 18.34. Investors get more value from IShares MSCI analysis when it is combined with the construction and diversification tools listed below. For IShares MSCI, the analytical tools below add portfolio-level context that single-security review alone cannot provide. You can also try the Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
The market value of iShares MSCI Intl is measured differently than book value, which reflects IShares accounting equity. Valuation work aligns these measures into a single analytical context.
The concept of value for IShares MSCI differs from its quoted price, since each reflects a different lens. All metrics are derived from available inputs and shown for reference.