IShares Cohen Expected Short fall
| ICF ETF | | | USD 68.26 0.78 1.16% |
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 Cohen's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
IShares Cohen carries a Expected Short fall of
-0.77, consistent with its current reading on this measure. This reflects IShares Cohen's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.77 | |
Expected Short fall Peers Comparison
Relative to peers, IShares Cohen's Expected Short fall is above the group average of -0.83. Peer readings range from -1.285 (iShares Core MSCI) to 0.0 (), reflecting tight clustering across the sector.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for IShares Cohen 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 Cohen to PeersMethodology, Assumptions & Data Sources
The current Expected Short fall for IShares Cohen is -0.77. The Expected Short fall for IShares Cohen applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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