iShares ESG Advanced Etf Volatility
| XUSR Etf | CAD 99.42 0.08 0.08% |
iShares ESG Advanced continues to trade with a minimal volatility profile through the current horizon. iShares ESG Advanced continues to report a Sharpe Ratio (Efficiency) of -0.0721, supporting negative efficiency readings over the last 3 months. We found 24 technical indicators contributing to the current risk picture.
Sharpe Ratio = -0.0721
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | XUSR |
Estimated Market Risk
| 1.1 actual daily | 9 91% of assets are more volatile |
Expected Return
| -0.08 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.07 actual daily | 0 Most of other assets perform better |
For iShares ESG Advanced, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 1.10, and a Risk Adjusted Performance of -0.04%. IShares ESG has not reached its return potential based on moving average analysis. Including it in a well-diversified portfolio can reduce portfolio-level risk.
Key indicators related to IShares ESG's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Investors holding IShares ESG should monitor IShares ESG's rolling volatility as part of ongoing risk management. A sudden spike in IShares ESG volatility, even without a directional price move, can signal increased uncertainty and potential for larger price swings ahead.
IShares |
Etf Volatility Analysis
Volatility in IShares ESG reflects the degree of uncertainty around IShares ESG's etf price. When IShares ESG experiences high volatility, its etf price can shift dramatically in a short period. Conversely, low IShares ESG's volatility suggests price stability and predictability.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. iShares ESG Advanced 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 ESG has a beta of 1.0007 . This entails iShares ESG Advanced market returns are highly reactive to returns on the market. As the market goes up or down, IShares ESG is expected to follow.IShares ESG volatility reflects broader etf market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. For iShares ESG Advanced, recent data highlights a Mean Deviation of 0.84 and a Standard Deviation of 1.10.
Predicted Return Density |
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What Drives IShares ESG's Price Volatility?
Several factors can influence IShares ESG's market volatility:Industry Dynamics
Sector-level events can directly affect IShares ESG's price stability. Regulatory changes, supply disruptions, or shifts in demand within IShares ESG'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 ESG.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for IShares ESG's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward IShares ESG. During periods of economic expansion, IShares ESG's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.IShares ESG's Company-Specific Factors
Volatility can also stem from events unique to IShares ESG. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in IShares ESG's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on IShares ESG's share price.Etf Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of IShares ESG is -1387.89. The daily returns are distributed with a variance of 1.21 and standard deviation of 1.1. The mean deviation of iShares ESG Advanced is currently at 0.84. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 1.00 | |
σ | Overall volatility | 1.10 | |
Ir | Information ratio | 0.02 |
Etf Return Volatility
Daily return volatility for IShares ESG measures how far etf returns deviate from their average on a day-to-day basis. The ETF shows 1.1005% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8239% on return distribution over a 90-day investment 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 ESG Competition Risk-Adjusted Indicators
Strong stock returns do not always mean IShares ESG ETF is outperforming its peers on a fundamental level. A thorough review of IShares ESG'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 | 1.48 | 0.00 | 0.00 | -0.08 | 0.00 | 2.33 | 14.24 | |||
| MSFT | 1.25 | -0.26 | 0.00 | -0.62 | 0.00 | 2.19 | 13.28 | |||
| UBER | 1.54 | -0.13 | 0.00 | -0.33 | 0.00 | 3.18 | 11.09 | |||
| F | 1.34 | -0.14 | 0.00 | -0.21 | 0.00 | 3.61 | 10.01 | |||
| T | 1.11 | 0.19 | 0.20 | -1.16 | 1.17 | 3.87 | 8.53 | |||
| A | 1.23 | -0.25 | 0.00 | -0.33 | 0.00 | 2.48 | 7.20 | |||
| CRM | 1.82 | -0.37 | 0.00 | -0.66 | 0.00 | 3.41 | 9.78 | |||
| JPM | 1.11 | -0.03 | 0.00 | -0.11 | 0.00 | 2.02 | 8.17 | |||
| MRK | 1.13 | 0.26 | 0.22 | 0.45 | 1.22 | 2.54 | 7.29 | |||
| XOM | 1.32 | 0.45 | 0.34 | 6.55 | 1.14 | 2.90 | 6.83 |
Risk Metrics, Assumptions & Methodology
Volatility for IShares ESG reflects price dispersion, spread stability, and underlying basket liquidity conditions. Market stress typically elevates dispersion and correlation risk.
This section for iShares ESG Advanced 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:
Gabriel Shpitalnik - Member of Macroaxis Editorial BoardIShares ESG Investment Opportunity
iShares ESG Advanced currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.34. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use iShares ESG Advanced to enhance the returns of your portfolios. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a normal upward fluctuation. Check odds of IShares ESG to be traded at C$104.39 in 90 days.Poor diversification
The correlation between XUSR and DJI is 0.66, which Macroaxis classifies as Poor diversification for the selected horizon. The overlap area represents the portion of risk that may be diversified away when both instruments are held together and nothing else in the portfolio changes.
IShares ESG Additional Risk Indicators
Risk analysis around iShares ESG Advanced becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.04 | |||
| Market Risk Adjusted Performance | -0.05 | |||
| Mean Deviation | 0.842 | |||
| Coefficient Of Variation | -1,998 | |||
| Standard Deviation | 1.1 | |||
| Variance | 1.2 | |||
| Information Ratio | 0.0184 |
IShares ESG Suggested Diversification Pairs
Using IShares ESG in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
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 ESG with another position. However, IShares ESG's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with iShares ESG Advanced.
More Resources for IShares Etf Analysis
A full view of iShares ESG Advanced is built from its financial statements and trend data. Financial ratios summarize performance across earnings and efficiency.Your Current Watchlist provides context for diversified portfolio construction. Additional portfolio transparency improves capital positioning. The portfolio structure determines how individual positions contribute to the whole. This view summarizes available data without implying outcomes. This captures an allocation to iShares ESG Advanced. 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.This analysis of IShares ESG works best as a complementary layer when evaluating how the security fits in a broader portfolio. The supplemental views below help investors decide how IShares ESG complements or overlaps with existing portfolio holdings. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .