Northern Lights Expected Short fall
| MAMB ETF | | | USD 24.40 0.19 0.78% |
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 Northern Lights's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
With Expected Short fall at
-0.31, Northern Lights shows its current reading on this measure. This reflects Northern Lights's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.31 | |
Expected Short fall Peers Comparison
Relative to peers, Northern Lights's Expected Short fall is above the group average of -0.5. Peer readings range from -1.259 (Invesco SAMPP SmallCap) 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 Northern Lights 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 Northern Lights to PeersMethodology, Assumptions & Data Sources
Northern Lights has a current Expected Short fall reading of -0.31. Expected Short fall for Northern Lights 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. 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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