IShares MSCI Expected Short fall
| EWM ETF | | | USD 30.54 0.15 0.49% |
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). Below is IShares MSCI's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
IShares MSCI has a Expected Short fall of
-0.82, indicating its current reading on this measure. This reflects IShares MSCI's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.82 | |
Expected Short fall Peers Comparison
Among sector peers, IShares MSCI's Expected Short fall of -0.8175 is above the -0.99 group average. The range runs from -1.5012 (iShares MSCI Thailand) to 0.0 ().
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for IShares MSCI and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare IShares MSCI to PeersMethodology, Assumptions & Data Sources
IShares MSCI has a current Expected Short fall reading of -0.82. Expected Short fall for IShares MSCI is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Inputs are drawn from end-of-day closing prices reported by supported exchanges, adjusted for splits and dividends where applicable. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
Other Technical Indicators