Morgan Stanley Pathway ETF Volatility
| MSSM ETF | 58.20 0.42 0.73% |
Sharpe Ratio = 0.0736
Expected Return ↓
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← Lower RiskHigher Risk →
Morgan Stanley Pathway's financial profile includes a Market Risk Adjusted Performance of 0.1%, a Risk of 1.25, and a Risk Adjusted Performance of 0.1%. The ETF is currently at approximately 5% of its recent trend range per monthly moving averages.
Key indicators related to Morgan Stanley's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Morgan Stanley (3 Months):
Beta 1.22 | Alpha 0.12 | Risk 1.25 | Sharpe Ratio 0.07 | Expected Return 0.09 |
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Sensitivity To Market
Morgan Stanley beta coefficient measures the volatility of Morgan Stanley ETF relative to the systematic risk of the broad market benchmark. A beta of 1.22 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.25%. Morgan Stanley Pathway has shown noticeable price swings over the selected period. Downside deviation is about 1.33% and standard deviation is about 1.3%, which summarize how widely returns have moved. ETF variability increases when the underlying basket is less liquid, making spreads wider and NAV alignment slower. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Morgan Stanley Pathway Demand TrendCurrent 90-day Morgan Stanley correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Morgan Stanley 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.
Standard Deviation | 1.25 |
For Morgan Stanley, 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 Morgan Stanley's returns. Morgan Stanley Pathway's financial profile includes a Downside Deviation of 1.33, a Downside Variance of 1.78, and a Maximum Drawdown of 5.67.
ETF Volatility Analysis
Volatility describes the degree to which Morgan Stanley ETF price fluctuates in either direction. It captures how much Morgan Stanley's price fluctuates, which is relevant to allocation calibration.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Morgan Stanley Pathway'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, Morgan Stanley has a beta of 1.2173. This indicates when the benchmark rises, MSSM tends to outperform it on average. However, when benchmark returns turn negative, Morgan Stanley tends to underperform.Morgan Stanley remains sensitive to broader ETF market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Morgan Stanley Pathway's financial profile includes a Downside Deviation of 1.33, a Mean Deviation of 0.98, and a Semi Deviation of 1.19.
Predicted Return Distribution |
| Density |
What Drives Morgan Stanley's Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Small Blend category can influence Morgan Stanley'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 Morgan Stanley.Morgan Stanley'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 Morgan Stanley's shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of Morgan Stanley is 1358.61. The daily returns are distributed with a variance of 1.56 and standard deviation of 1.25. The mean deviation of Morgan Stanley Pathway is currently at 0.93. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.12 | |
β | Beta against Dow Jones | 1.22 | |
σ | Overall volatility | 1.25 | |
Ir | Information ratio | 0.09 |
ETF Return Volatility
Morgan Stanley historical daily return volatility represents how much of Morgan Stanley ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF reported 1.247% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Morgan Stanley Constituents Risk-Adjusted Indicators
Strong recent returns in Morgan Stanley ETF do not always mean Morgan Stanley ETF is outperforming peers on business quality. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MCHS | 1.19 | 0.35 | 0.22 | 0.39 | 1.19 | 2.97 | 8.54 | |||
| MEMS | 1.49 | 0.27 | 0.14 | 0.18 | 1.68 | 3.09 | 8.83 | |||
| MNVT | 2.21 | 0.46 | 0.17 | 0.51 | 2.12 | 5.92 | 10.18 | |||
| MSSM | 0.98 | 0.12 | 0.09 | 0.10 | 1.19 | 2.38 | 5.67 | |||
| NBSM | 0.78 | 0.00 | 0.00 | 0.00 | 1.02 | 1.66 | 4.78 | |||
| EPSB | 0.82 | 0.10 | 0.10 | 0.10 | 0.85 | 1.56 | 4.52 | |||
| EPSV | 0.92 | 0.18 | 0.14 | 0.16 | 0.98 | 2.77 | 5.30 | |||
| FFSM | 1.06 | 0.15 | 0.10 | 0.12 | 1.23 | 2.45 | 6.35 | |||
| FSCS | 0.60 | -0.04 | 0.00 | -0.07 | 0.00 | 1.24 | 3.47 |
Risk Metrics, Assumptions & Methodology
Drawdown analysis for Morgan Stanley measures the largest peak-to-trough declines and their duration within the fund's price history. Comparing drawdown depth across market phases shows whether downside risk is regime-dependent.
Reported values for Morgan Stanley Pathway are derived from fund disclosures and market reference feeds and standardized for analysis. 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 Morgan Stanley Pathway is more volatile than Dow Jones Industrial by approximately 1.36x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the 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 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Morgan Stanley Pathway with characteristics aligned to broad market upside participation. This move summary looks at how the current session may translate into a basic near-term setup. It works best as a directional cue rather than as a standalone forecast. a moderate upward price movement. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Morgan Stanley probability analysis.
Very poor diversification
For the present investment horizon, the measured correlation between Morgan Stanley and Dow Jones stands at 0.85, or Very poor diversification. A 0.85 reading means Morgan Stanley and Dow Jones have substantial price overlap, limiting risk reduction through pairing.
Additional Risk Indicators
Risk analysis around Morgan Stanley Pathway gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0965 | |||
| Market Risk Adjusted Performance | 0.1058 | |||
| Mean Deviation | 0.9769 | |||
| Semi Deviation | 1.19 | |||
| Downside Deviation | 1.33 | |||
| Coefficient Of Variation | 1026.99 | |||
| Standard Deviation | 1.3 |
Morgan Stanley Suggested Diversification Pairs
A paired position built around Morgan Stanley Pathway reduces directional market exposure while expressing a relative-value view. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
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 Morgan Stanley 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. Morgan Stanley'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, Morgan Stanley'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 Morgan Stanley Pathway.