iShares iBonds Dec ETF Volatility
| IBMP ETF | USD 25.35 -0.01 -0.04% |
Sharpe Ratio = 0.0246
Expected Return ↓
Minimal
Low
Moderate
Elevated
High
Leading
Strong
Moderate
Modest
Flat
Below
Ideal
IBMP
Worst
← Lower RiskHigher Risk →
Latest disclosures for iShares iBonds Dec show a Market Risk Adjusted Performance of -1.7%, a Risk of 0.08, and a Risk Adjusted Performance of -0.1%. The ETF is tracking at approximately 1% of its historical trend range per monthly averages.
Key indicators related to IShares IBonds' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares IBonds (3 Months):
Beta 0 | Alpha -0.01 | Risk 0.08 | Sharpe Ratio 0.02 | Expected Return 0 |
Assets With Similar Volatility
Sensitivity To Market
iShares iBonds Dec beta of 0.0037 quantifies how much of its total volatility (0.0765%) is attributable to market-wide factors versus idiosyncratic drivers. iShares iBonds Dec return dispersion over the lookback window shows standard deviation near 0.08% and semi-deviation near 0.04%, providing a baseline for comparison across peer instruments. 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 iBonds Dec Demand TrendCurrent 90-day IShares IBonds correlation with market (Dow Jones Industrial)Downside Risk
IShares IBonds daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.
Standard Deviation | 0.0765 |
The difference between upside risk and downside risk is meaningful for IShares IBonds analysis. Semi-deviation and downside deviation isolate negative return dispersion, providing additional context on loss-specific risk relative to total volatility for IShares IBonds. Latest disclosures for iShares iBonds Dec show a Downside Deviation of 0.10, a Downside Variance of 0.01, and a Maximum Drawdown of 0.39.
ETF Volatility Analysis
When measuring the risk of IShares IBonds ETF, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with IShares IBonds' price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of iShares iBonds Dec'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 IBonds has a beta of 0.0037. This usually indicates as returns on the market go up, IShares IBonds's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding iShares iBonds Dec tends to be smaller as well.Risk assessment for IShares IBonds separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. Latest disclosures for iShares iBonds Dec show a Downside Deviation of 0.10, a Mean Deviation of 0.06, and a Semi Deviation of 0.04.
Predicted Return Distribution |
| Density |
What Drives IShares IBonds' Price Volatility?
Holdings and Allocation
Shifts in underlying asset weights and category-level catalysts in the Muni Target Maturity category often set the baseline volatility regime for IShares IBonds.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.IShares IBonds' Fund-Specific Factors
NAV premium shifts, flow-driven supply-demand imbalance, and rebalancing events can shift near-term return dispersion for IShares IBonds'.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of IShares IBonds is 4063.34. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.08. The mean deviation of iShares iBonds Dec is currently at 0.06. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0064 | |
β | Beta against Dow Jones | 0.0037 | |
σ | Overall volatility | 0.08 | |
Ir | Information ratio | -0.0555 |
ETF Return Volatility
IShares IBonds daily volatility tracks how widely ETF returns have moved around the mean across the selected time frame. The ETF reflects 0.0765% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9164% 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 IBonds Competition Risk-Adjusted Indicators
Return momentum in IShares IBonds ETF is more useful when tested against peer-relative fundamentals and risk. 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 | 1.69 | -0.12 | 0.00 | -0.10 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.36 | 0.01 | 0.01 | 0.02 | 1.76 | 3.11 | 8.57 | |||
| UBER | 1.66 | 0.05 | 0.02 | 0.05 | 2.00 | 3.61 | 11.61 | |||
| F | 1.54 | -0.14 | 0.00 | -0.11 | 0.00 | 4.11 | 9.26 | |||
| T | 1.16 | -0.10 | 0.00 | 0.33 | 0.00 | 2.34 | 7.75 | |||
| A | 1.43 | -0.20 | 0.00 | -0.21 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.09 | -0.11 | 0.00 | -1.46 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.13 | -0.06 | 0.00 | -0.05 | 0.00 | 2.16 | 8.17 | |||
| MRK | 1.15 | -0.08 | 0.00 | -0.17 | 0.00 | 2.73 | 7.67 | |||
| XOM | 1.40 | -0.02 | 0.00 | 0.02 | 0.00 | 2.67 | 8.59 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for IShares IBonds identifies whether the fund is currently in a high, low, or transitioning dispersion state. Elevated volatility regimes increase the cost of hedging and widen the range of expected outcomes.
iShares iBonds Dec metrics draw on fund disclosures and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that iShares iBonds Dec is less volatile than Dow Jones Industrial by approximately 11.5x 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 0% 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 iBonds Dec exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. 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 IBonds probability analysis.
Weak diversification
For the present investment horizon, the measured correlation between IShares IBonds and Dow Jones stands at 0.47, or Weak diversification. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Risk analysis around iShares iBonds Dec gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | -0.07 | |||
| Market Risk Adjusted Performance | -1.71 | |||
| Mean Deviation | 0.0581 | |||
| Semi Deviation | 0.0396 | |||
| Downside Deviation | 0.0955 | |||
| Coefficient Of Variation | 2110.04 | |||
| Standard Deviation | 0.0764 |
IShares IBonds Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between iShares iBonds Dec and comparable securities. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for IShares IBonds persists even in a well-constructed pair. The benefit is in offsetting IShares IBonds' company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of iShares iBonds Dec.