iShares SAMPP Small Cap Etf Volatility
| XSMC Etf | CAD 33.03 -0.75 -2.22% |
iShares SAMPP Small Cap continues to trade with relatively low price volatility through the last 3 months. iShares SAMPP Small Cap registers a Sharpe ratio of -0.0193, supporting negative efficiency readings over the last 3 months. This risk assessment is based on 24 technical indicators.
Sharpe Ratio = -0.0193
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | XSMC |
Estimated Market Risk
| 1.16 actual daily | 10 90% of assets are more volatile |
Expected Return
| -0.02 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.02 actual daily | 0 Most of other assets perform better |
Latest disclosures for iShares SAMPP Small Cap show a Market Risk Adjusted Performance of -0.04%, a Risk of 1.16, and a Risk Adjusted Performance of -0.02%. Monthly performance data suggests IShares SAMPP is falling short of its full potential. Incorporating it into a well-diversified portfolio can enhance total return while reducing risk. Portfolio optimization can identify the allocation weight that maximizes IShares SAMPP risk-adjusted contribution. This analysis supports more informed allocation decisions for IShares SAMPP within a portfolio.
Key indicators related to IShares SAMPP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The risk model for IShares SAMPP incorporates multiple volatility measures including realized volatility and beta. This statistical measure reflects the magnitude of IShares SAMPP's typical price swings and is a primary input in options pricing models. IShares SAMPP's beta measures how much IShares SAMPP's price moves relative to the broad market. When implied volatility for IShares SAMPP is above realized volatility, options premiums may be elevated relative to norms.
IShares |
Volatility Strategy
Volatility clustering in iShares SAMPP Small Cap may influence portfolio rebalancing frequency. Current statistical measures show total volatility near 1.16% with a beta coefficient of 0.96, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0193, evaluates return per unit of total risk. An alpha value of 0.0489 reflects performance relative to systematic market exposure. Expected return estimates near -0.0224% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. ETF volatility may reflect both basket movement and premium/discount to NAV.
Main indicators related to IShares SAMPP's market risk premium analysis include:
Beta 0.96 | Alpha 0.0489 | Risk 1.16 | Sharpe Ratio -0.02 | Expected Return -0.02 |
Moving together with IShares Etf
| 0.93 | XSU | iShares Small Cap | PairCorr |
| 0.97 | XMC | iShares SAMPP Mid | PairCorr |
| 0.95 | XMH | iShares SAMPP Mid | PairCorr |
| 0.82 | UMI | CI MidCap Dividend | PairCorr |
| 0.84 | MUMC | Manulife Multifactor Mid | PairCorr |
| 0.97 | XSMH | iShares SAMPP Small | PairCorr |
| 0.72 | FHF | First Trust Nasdaq | PairCorr |
| 0.91 | DXZ | Dynamic Active Mid | PairCorr |
| 0.63 | ZGD | BMO Equal Weight | PairCorr |
| 0.61 | ZJG | BMO Junior Gold | PairCorr |
Sensitivity To Market
The systematic risk of iShares SAMPP Small Cap is captured by a beta reading of 0.96, indicating responsiveness to overall market fluctuations. Observed volatility is near 1.16%.Volatility measures for iShares SAMPP Small Cap summarize how wide the trading range has been over time. Downside deviation is about 0.0%. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability can also shape short-term movement.
3 Months Beta |Analyze iShares SAMPP Small Demand TrendCheck current 90 days IShares SAMPP correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of IShares measures the spread of its daily returns around the mean. Highly volatile instruments have large standard deviations; stable instruments have small ones. Standard deviation of IShares is a key measure of price volatility reflecting the average daily deviation from the mean. More volatile instruments exhibit higher standard deviations over equivalent time periods.
Standard Deviation | 1.16 |
Standard deviation and downside deviation are complementary tools for assessing IShares SAMPP's risk. Investors specifically concerned with loss potential should use downside deviation or semi-deviation of IShares SAMPP's returns. For investors in IShares SAMPP, understanding the difference between standard deviation and downside deviation is important. Semi-deviation of IShares SAMPP's returns captures only losses, providing a more focused risk measure. Latest disclosures for iShares SAMPP Small Cap show a Maximum Drawdown of 5.42.
Etf Volatility Analysis
In evaluating IShares SAMPP as an investment, volatility is a primary indicator of risk. High volatility generally means the etf price moves dramatically in a short period of time. Investors with a lower risk tolerance generally prefer etfs exhibiting lower volatility. Volatility metrics help portfolio managers set stop-losses and size positions appropriately for IShares SAMPP.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. iShares SAMPP Small 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
Assuming the 90-day trading horizon IShares SAMPP has a beta of 0.9578 . This entails iShares SAMPP Small Cap market returns are highly reactive to returns on the market. As the market goes up or down, IShares SAMPP is expected to follow.IShares SAMPP volatility reflects broader etf market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. Latest disclosures for iShares SAMPP Small Cap show a Mean Deviation of 0.88 and a Standard Deviation of 1.13.
Predicted Return Density |
| Returns |
What Drives IShares SAMPP's Price Volatility?
Several factors can influence IShares SAMPP's market volatility:Industry Dynamics
Sector-level events can directly affect IShares SAMPP's price stability. Regulatory changes, supply disruptions, or shifts in demand within IShares SAMPP's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like IShares SAMPP.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for IShares SAMPP's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward IShares SAMPP. During periods of economic expansion, IShares SAMPP's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.IShares SAMPP's Company-Specific Factors
Volatility can also stem from events unique to IShares SAMPP. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in IShares SAMPP's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on IShares SAMPP's share price.Etf Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of IShares SAMPP is -5183.6. The daily returns are distributed with a variance of 1.35 and standard deviation of 1.16. The mean deviation of iShares SAMPP Small Cap is currently at 0.9. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.05 | |
β | Beta against Dow Jones | 0.96 | |
σ | Overall volatility | 1.16 | |
Ir | Information ratio | 0.05 |
Etf Return Volatility
Daily return volatility for IShares SAMPP measures how far etf returns deviate from their average on a day-to-day basis. The ETF shows 1.1604% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8242% 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 SAMPP Competition Risk-Adjusted Indicators
Strong stock returns do not always mean IShares SAMPP ETF is outperforming its peers on a fundamental level. A thorough review of IShares SAMPP's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.51 | -0.02 | 0.00 | -0.12 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.27 | -0.27 | 0.00 | -0.62 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.51 | -0.09 | 0.00 | -0.26 | 0.00 | 3.18 | 11.09 | |||
| F | 1.34 | -0.13 | 0.00 | -0.21 | 0.00 | 3.61 | 10.01 | |||
| T | 1.12 | 0.23 | 0.24 | -1.20 | 1.13 | 3.87 | 8.53 | |||
| A | 1.22 | -0.25 | 0.00 | -0.35 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.79 | -0.32 | 0.00 | -0.61 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.11 | -0.03 | 0.00 | -0.12 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.13 | 0.26 | 0.22 | 0.43 | 1.20 | 2.54 | 7.29 | |||
| XOM | 1.31 | 0.48 | 0.36 | 8.37 | 1.14 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for IShares SAMPP reflects price dispersion, spread stability, and underlying basket liquidity conditions. Market stress typically elevates dispersion and correlation risk.
This section for iShares SAMPP Small Cap is built from fund disclosures and market reference feeds, with harmonization applied to align reporting definitions. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardIShares SAMPP Investment Opportunity
iShares SAMPP Small Cap is about 1.41 times more volatile than Dow Jones Industrial based on recent return behavior. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use iShares SAMPP Small Cap to protect the portfolio against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. an unexpected downward movement. The market is reacting to new fundamentals. Check odds of IShares SAMPP to be traded at C$31.71 in 90 days.Poor diversification
Across the chosen horizon, IShares SAMPP and Dow Jones show a correlation of 0.77 and fall into the Poor diversification bucket. A 0.77 reading means IShares SAMPP and Dow Jones have substantial price overlap, limiting diversification benefit.
IShares SAMPP Additional Risk Indicators
A broader risk-indicator set for iShares SAMPP Small Cap can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.02 | |||
| Market Risk Adjusted Performance | -0.04 | |||
| Mean Deviation | 0.8812 | |||
| Coefficient Of Variation | -3,193 | |||
| Standard Deviation | 1.13 | |||
| Variance | 1.27 | |||
| Information Ratio | 0.047 |
IShares SAMPP Suggested Diversification Pairs
Pair analysis around iShares SAMPP Small Cap matters because it can turn one security idea into a more market-neutral structure. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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 SAMPP with another position. However, IShares SAMPP's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with iShares SAMPP Small Cap.
More Resources for IShares Etf Analysis
The foundation for reviewing iShares SAMPP Small is its financial reporting and trend data. The dataset reflects IShares SAMPP's financial reporting across available periods.Your Current Watchlist provides context for diversified portfolio design. Refined allocation visibility enhances overall portfolio context. The holding in iShares SAMPP Small Cap represents an allocation. It is represented within the portfolio holdings. 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.IShares SAMPP information on this page supports broader research rather than acting as a stand-alone signal. IShares SAMPP peer comparison and risk tools below help frame relative strengths and weaknesses. You can also try the ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.