iShares Trust ETF Volatility
| IBIK ETF | 26.00 -0.03 -0.12% |
Sharpe Ratio = 0.067
Expected Return ↓
Minimal
Low
Moderate
Elevated
High
Leading
Strong
Moderate
Modest
Flat
Below
Ideal
IBIK
Worst
← Lower RiskHigher Risk →
For iShares Trust, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 0.28, and a Risk Adjusted Performance of 0.04%. The ETF reflects approximately 5% of its established trend range based on monthly averages.
Key indicators related to IShares Trust's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares Trust (3 Months):
Beta 0.08 | Alpha 0.01 | Risk 0.28 | Sharpe Ratio 0.07 | Expected Return 0.02 |
Moving together with IShares Trust ETF
| 0.65 | IBDS | iShares iBonds Dec | PairCorr |
| 0.84 | EMCB | WisdomTree Emerging | PairCorr |
| 0.78 | PCY | Invesco Emerging Markets | PairCorr |
| 0.73 | WIP | SPDR FTSE International | PairCorr |
| 0.65 | ICPY | Tweedy Browne | PairCorr |
| 0.71 | PLGI | PL Growth | PairCorr |
| 0.69 | VTV | Vanguard Value Index | PairCorr |
| 0.7 | DRGN | Themes China Generative | PairCorr |
| 0.71 | EDGU | 3EDGE Dynamic Equity | PairCorr |
| 0.78 | LDUR | PIMCO Enhanced Low | PairCorr |
Moving Against IShares Trust ETF
Sensitivity To Market
IShares Trust beta coefficient measures the volatility of IShares Trust ETF relative to the systematic risk of the broad market benchmark. A beta of 0.0772 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.28%. iShares Trust has shown noticeable price swings over the selected period. Downside deviation is about 0.29% and standard deviation is about 0.28%, which summarize how widely returns have moved. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |iShares Trust Demand TrendCurrent 90-day IShares Trust correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far IShares Trust returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability. Peer-relative standard deviation places IShares Trust on a common scale for cross-instrument volatility ranking. This dispersion metric remains a common starting point for assessing IShares Trust price volatility.
Standard Deviation | 0.28 |
For IShares Trust, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of IShares Trust's returns. Total price dispersion for IShares Trust includes upside moves that do not represent loss risk. Using both metrics together provides a more complete view of IShares Trust's risk characteristics. For iShares Trust, recent data highlights a Downside Deviation of 0.29, a Downside Variance of 0.08, and a Maximum Drawdown of 1.43.
ETF Volatility Analysis
Volatility describes the degree to which IShares Trust ETF price fluctuates in either direction. It captures how much IShares Trust's price fluctuates, which is relevant to allocation calibration. Volatility in IShares Trust reflects the degree of uncertainty around IShares Trust's ETF price. Periods of elevated volatility in IShares Trust reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of iShares Trust's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, IShares Trust has a beta of 0.0772. This usually indicates as returns on the market go up, IShares Trust's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding iShares Trust tends to be smaller as well.Systematic risk links IShares Trust to broad ETF market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. For iShares Trust, recent data highlights a Downside Deviation of 0.29, a Mean Deviation of 0.22, and a Semi Deviation of 0.24.
Predicted Return Distribution |
| Density |
What Drives IShares Trust's Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Target Maturity category can influence IShares Trust's price dispersion even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for IShares Trust.IShares Trust's Fund-Specific Factors
Flows in and out of the fund, tracking error, and premium-to-NAV shifts are common drivers of short-term price movement in IShares Trust's shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of IShares Trust is 1492.27. The daily returns are distributed with a variance of 0.08 and standard deviation of 0.28. The mean deviation of iShares Trust is currently at 0.22. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.08 | |
σ | Overall volatility | 0.28 | |
Ir | Information ratio | -0.0018 |
ETF Return Volatility
IShares Trust historical daily return volatility represents how much of IShares Trust ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The exchange-traded fund reported 0.2804% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9238% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Please upgrade your account to get full access to Macroaxis premium features
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
|
IShares Trust Competition Risk-Adjusted Indicators
Strong recent returns in IShares Trust ETF do not always mean IShares Trust ETF is outperforming peers on business quality. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.75 | -0.20 | 0.00 | -0.16 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.36 | -0.03 | 0.00 | -0.03 | 0.00 | 3.11 | 8.57 | |||
| UBER | 1.72 | -0.02 | 0.00 | -0.02 | 0.00 | 3.61 | 8.83 | |||
| F | 1.53 | -0.18 | 0.00 | -0.12 | 0.00 | 4.11 | 9.26 | |||
| T | 1.18 | -0.02 | 0.00 | 0.08 | 0.00 | 2.34 | 7.75 | |||
| A | 1.43 | -0.21 | 0.00 | -0.20 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.14 | -0.20 | 0.00 | -1.23 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.11 | 0.03 | 0.02 | 0.04 | 1.47 | 2.18 | 8.16 | |||
| MRK | 1.18 | 0.01 | 0.00 | 0.03 | 1.57 | 2.73 | 7.67 | |||
| XOM | 1.44 | 0.13 | 0.06 | -0.19 | 2.00 | 2.73 | 9.09 |
Risk Metrics, Assumptions & Methodology
Return dispersion for IShares Trust quantifies how far daily or periodic returns deviate from the average across the measurement window. Annualized standard deviation provides a normalized scale for comparing variability across instruments.
iShares Trust metrics are compiled from fund disclosures and market reference feeds and normalized before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Michael Smolkin, Member of Macroaxis Board of Directors
Volatility Profile Summary
Recent data suggests that iShares Trust is less volatile than Dow Jones Industrial by approximately 3.29x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.iShares Trust exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View IShares Trust probability analysis.
Poor diversification
The correlation between IShares Trust and Dow Jones is 0.68, which Macroaxis classifies as Poor diversification for the selected horizon. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Secondary risk indicators for iShares Trust evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0423 | |||
| Market Risk Adjusted Performance | 0.1319 | |||
| Mean Deviation | 0.2209 | |||
| Semi Deviation | 0.2352 | |||
| Downside Deviation | 0.2889 | |||
| Coefficient Of Variation | 1444.8 | |||
| Standard Deviation | 0.2804 |
IShares Trust Suggested Diversification Pairs
A pair-trading setup around IShares Trust shifts the return benchmark from the broad market to a second position, altering the risk profile. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against IShares Trust as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. IShares Trust's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, IShares Trust's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to iShares Trust.
More Resources for IShares Trust ETF Analysis
Investors evaluate iShares Trust using market price and NAV, each describing a different view of the fund. Combining these views produces a more balanced understanding of IShares Trust's position.
IShares Trust NAV depends on underlying asset values, while price depends on secondary market activity. The actual IShares Trust transaction price is determined by real-time order flow on the exchange.