iShares Core MSCI Etf Volatility
| XEC Etf | CAD 37.19 0.01 0.03% |
Over the designated horizon, iShares Core MSCI maintains a low volatility profile. The current Sharpe Ratio (Efficiency) for iShares Core MSCI is 0.0802, suggesting positive return efficiency over the last 3 months. The latest risk read is supported by 28 technical indicators.
Sharpe Ratio = 0.0802
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| Cash | XEC | Average Risk | High Risk | Huge Risk |
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Estimated Market Risk
| 1.2 actual daily | 10 90% of assets are more volatile |
Expected Return
| 0.1 actual daily | 2 98% of assets have higher returns |
Risk-Adjusted Return
| 0.08 actual daily | 6 94% of assets perform better |
For iShares Core MSCI, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 1.20, and a Risk Adjusted Performance of 0.1%. Monthly moving average analysis places IShares Core at roughly 6% of its prior performance bandwidth. Its effect inside a well-diversified portfolio would be influenced by cross-asset correlation.
Key indicators related to IShares Core's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
IShares Core's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of IShares Core's typical price swings and is a primary input in options pricing models.
IShares |
Volatility Strategy
iShares Core MSCI return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 1.2% with a beta coefficient of 0.79, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0802, evaluates return per unit of total risk. An alpha value of 0.0943 reflects performance relative to systematic market exposure. Expected return estimates near 0.0959% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. ETF pricing reflects both exposure and trading mechanics.
Main indicators related to IShares Core's market risk premium analysis include:
Beta 0.79 | Alpha 0.0943 | Risk 1.2 | Sharpe Ratio 0.0802 | Expected Return 0.0959 |
Moving together with IShares Etf
| 0.95 | VEE | Vanguard FTSE Emerging | PairCorr |
| 1.0 | ZEM | BMO MSCI Emerging | PairCorr |
| 1.0 | XEM | iShares MSCI Emerging | PairCorr |
| 0.98 | ZLE | BMO Low Volatility | PairCorr |
| 1.0 | HXEM | Global X Emerging | PairCorr |
| 0.94 | XMM | iShares MSCI Min | PairCorr |
| 0.87 | PIN | Purpose Monthly Income | PairCorr |
| 0.88 | PMM | Purpose Multi Strategy | PairCorr |
| 0.65 | HXE | Global X SAMPPTSX | PairCorr |
| 0.93 | ZMT | BMO SAMPPTSX Equal | PairCorr |
| 0.65 | XEG | iShares SAMPPTSX Capped | PairCorr |
| 0.83 | ZRR | BMO Real Return | PairCorr |
| 0.97 | ZEA | BMO MSCI EAFE | PairCorr |
Moving against IShares Etf
Sensitivity To Market
IShares Core'siShares Core MSCI exhibits a beta of 0.79, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 1.2%.Volatility metrics for iShares Core MSCI describe how stable or unstable returns have been over the selected window. Current downside deviation is about 1.39%. ETF volatility can be read with two lenses: exposure movement and pricing efficiency vs NAV. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze iShares Core MSCI Demand TrendCheck current 90 days IShares Core correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of IShares measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 1.2 |
Standard deviation captures both upside and downside movement in IShares Core. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of IShares Core's returns. For iShares Core MSCI, recent data highlights a Downside Deviation of 1.39, a Downside Variance of 1.94, and a Maximum Drawdown of 7.40.
Etf Volatility Analysis
IShares Core etf volatility is a measure of the speed and extent of IShares Core's price movements. High volatility generally means the etf price moves dramatically up or down in a short period of time. Low volatility means IShares Core's price does not fluctuate dramatically, and tends to be.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. iShares Core MSCI 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.
IShares Core Projected Return Density Against Market
Assuming the 90-day trading horizon IShares Core has a beta of 0.7946 . This entails as returns on the market go up, IShares Core's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding iShares Core MSCI is expected to be smaller as well.Investors in IShares Core face systematic risk from overall etf market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. For iShares Core MSCI, recent data highlights a Downside Deviation of 1.39, a Mean Deviation of 0.83, and a Semi Deviation of 1.29.
Predicted Return Density |
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What Drives an IShares Core Price Volatility?
Several factors can influence a etf'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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Etf Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of IShares Core is 1246.78. The daily returns are distributed with a variance of 1.43 and standard deviation of 1.2. The mean deviation of iShares Core MSCI is currently at 0.85. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | 0.79 | |
σ | Overall volatility | 1.20 | |
Ir | Information ratio | 0.09 |
Etf Return Volatility
IShares Core historical daily return volatility represents how much of IShares Core etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF assumes 1.1955% volatility of returns over a 90-day investment horizon. By contrast, Dow Jones Industrial accepts 0.792% volatility on return distribution over a 90-day horizon. Performance |
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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
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IShares Core Constituents Risk-Adjusted Indicators
There is a big difference between IShares Etf performing well and IShares Core ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze IShares Core's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VDY | 0.46 | 0.12 | 0.22 | 0.34 | 0.47 | 0.90 | 2.57 | |||
| HXT | 0.59 | 0.08 | 0.10 | 0.09 | 0.88 | 1.21 | 3.78 | |||
| QUU | 0.59 | -0.04 | 0.00 | -0.10 | 0.00 | 1.08 | 3.43 | |||
| VSP | 0.55 | -0.03 | 0.00 | -0.09 | 0.00 | 0.84 | 3.57 | |||
| TPU | 0.58 | -0.04 | 0.00 | -0.10 | 0.00 | 1.04 | 3.62 | |||
| HXS | 0.56 | -0.04 | 0.00 | -0.10 | 0.00 | 1.00 | 3.56 | |||
| VBAL | 0.36 | 0.01 | 0.07 | -0.01 | 0.51 | 0.62 | 2.31 | |||
| TTP | 0.67 | 0.10 | 0.10 | 0.11 | 1.04 | 1.41 | 4.42 | |||
| XUU | 0.58 | -0.03 | 0.00 | -0.09 | 0.00 | 1.07 | 3.92 | |||
| XQQ | 0.78 | -0.05 | 0.00 | -0.11 | 0.00 | 1.40 | 4.15 |
Risk Metrics, Assumptions & Methodology
Volatility for IShares Core reflects price dispersion, spread stability, and underlying basket liquidity conditions. Observed drawdowns appear relatively moderate compared with broader market swings.
For iShares Core MSCI, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. 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 Core Investment Opportunity
Measured over the selected horizon, iShares Core MSCI carries roughly 1.52 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use iShares Core MSCI to enhance the returns of your portfolios. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a normal upward fluctuation. Check odds of IShares Core to be traded at C$39.05 in 90 days.Poor diversification
Across the chosen horizon, XEC and DJI show a correlation of 0.61 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
IShares Core Additional Risk Indicators
Risk analysis around iShares Core MSCI becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0502 | |||
| Market Risk Adjusted Performance | 0.0838 | |||
| Mean Deviation | 0.8312 | |||
| Semi Deviation | 1.29 | |||
| Downside Deviation | 1.39 | |||
| Coefficient Of Variation | 1691.45 | |||
| Standard Deviation | 1.16 |
IShares Core Suggested Diversification Pairs
Pair trading with IShares Core can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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 IShares Core 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. IShares Core'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, IShares Core'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 iShares Core MSCI.
More Resources for IShares Etf Analysis
A structured review of iShares Core MSCI often starts with core financial statements and trend context. Financial ratios provide context for profitability, efficiency, and growth trends. Below are reports that help frame iShares Core MSCI Etf in context:Use Your Current Watchlist to better understand diversified portfolio construction. Additional portfolio transparency improves capital positioning. This includes a position in iShares Core MSCI across the allocation. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in inflation.Analysis related to IShares Core should be read together with other portfolio and risk tools before capital is reallocated. That is especially important when the goal is to improve the overall mix of instruments already held. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.