IShares Trust Risk Adjusted Performance
ITDB Etf | 30.78 0.10 0.33% |
IShares |
| = | 0.086 |
ER[a] | = | Expected return on investing in IShares Trust |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
IShares Trust Risk Adjusted Performance Peers Comparison
IShares Risk Adjusted Performance Relative To Other Indicators
iShares Trust is rated fourth overall ETF in risk adjusted performance as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about 22.23 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for iShares Trust is roughly 22.23
Risk Adjusted Performance |
Compare IShares Trust to Peers |
Thematic Opportunities
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IShares Trust Technical Signals
All IShares Trust Technical Indicators
Cycle Indicators | ||
Math Operators | ||
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Overlap Studies | ||
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Price Transform | ||
Statistic Functions | ||
Volatility Indicators | ||
Volume Indicators |
Risk Adjusted Performance | 0.086 | |||
Market Risk Adjusted Performance | 0.1408 | |||
Mean Deviation | 0.3032 | |||
Semi Deviation | 0.2471 | |||
Downside Deviation | 0.3646 | |||
Coefficient Of Variation | 761.17 | |||
Standard Deviation | 0.3826 | |||
Variance | 0.1464 | |||
Information Ratio | (0.19) | |||
Jensen Alpha | 0.005 | |||
Total Risk Alpha | (0.02) | |||
Sortino Ratio | (0.20) | |||
Treynor Ratio | 0.1308 | |||
Maximum Drawdown | 1.91 | |||
Value At Risk | (0.59) | |||
Potential Upside | 0.6598 | |||
Downside Variance | 0.133 | |||
Semi Variance | 0.0611 | |||
Expected Short fall | (0.34) | |||
Skewness | 0.1146 | |||
Kurtosis | 0.1912 |