TrueShares Structured Expected Short fall
| SEPZ ETF | | | USD 44.92 0.33 0.74% |
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 TrueShares Structured's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
TrueShares Structured carries a Expected Short fall of
-0.69, consistent with its current reading on this measure. This reflects TrueShares Structured's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.69 | |
Expected Short fall Peers Comparison
The peer group averages -0.61 for Expected Short fall, with TrueShares Structured at -0.6909 falling below that level. Readings span -0.9894 (Cabana Target Leading) to 0.0 ().
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for TrueShares Structured 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 TrueShares Structured to PeersMethodology, Assumptions & Data Sources
TrueShares Structured's Expected Short fall currently stands at -0.69. Expected Short fall for TrueShares Structured is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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