Nushares ETF Trust ETF Volatility
| NUDV ETF | USD 32.10 0.15 0.47% |
Sharpe Ratio = -0.0029
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Nushares ETF Trust posted Market Risk Adjusted Performance at -0.1%, Risk close to 0.71, and Total Risk Alpha close to 0.02 for the reported period. Monthly performance data suggests the ETF is falling short of its full potential.
Key indicators related to Nushares ETF's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Nushares ETF (3 Months):
Beta -0.05 | Alpha 0 | Risk 0.71 | Sharpe Ratio -0.0029 | Expected Return -0.002 |
Assets With Similar Volatility
| 0.89 | VTV | Vanguard Value Index | PairCorr |
| 0.86 | VYM | Vanguard High Dividend | PairCorr |
| 0.73 | IWD | iShares Russell 1000 Sell-off Trend | PairCorr |
| 0.98 | DGRO | iShares Core Dividend | PairCorr |
| 0.87 | IVE | iShares SAMPP 500 | PairCorr |
| 0.87 | SPYV | SPDR Portfolio SAMPP | PairCorr |
| 0.87 | IUSV | iShares Core SAMPP | PairCorr |
| 0.75 | NOBL | ProShares SAMPP 500 | PairCorr |
| 0.68 | FNDX | Schwab Fundamental Large | PairCorr |
| 0.89 | BA | The Boeing | PairCorr |
| 0.81 | DIS | Walt Disney Aggressive Push | PairCorr |
Sensitivity To Market
Nushares ETF Trust exhibits a beta of -0.05, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 0.71%. Nushares ETF Trust return patterns over the selected horizon reflect a very low level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 0.73%. Creation/redemption activity keeps price closer to NAV, but volatility still rises during stress. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Nushares ETF Trust Demand TrendCurrent 90-day Nushares ETF correlation with market (Dow Jones Industrial)Downside Risk
For Nushares ETF, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Nushares ETF standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Nushares ETF total risk from its market-driven component. Combining Nushares ETF standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 0.71 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Nushares ETF. Standard deviation reflects total return dispersion for Nushares ETF, while downside deviation captures only the adverse portion of Nushares ETF's returns. Standard deviation and downside deviation for Nushares ETF measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Nushares ETF's returns. Nushares ETF Trust posted Downside Deviation at 0.73, Downside Variance close to 0.54, and a Maximum Drawdown of 3.46 for the reported period.
ETF Volatility Analysis
For Nushares ETF, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Nushares ETF's price swings over a specific time horizon. For Nushares ETF, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Nushares ETF's are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Nushares ETF 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, Nushares ETF Trust has a beta of -0.05. This indicates that as returns on the benchmark increase, returns on Nushares ETF tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Nushares ETF Trust tends to outperform the market.Holders of Nushares ETF face systematic risk from broad ETF market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Nushares ETF Trust posted Downside Deviation at 0.73, Mean Deviation close to 0.56, and Semi Deviation at 0.70 for the reported period.
Predicted Return Distribution |
| Density |
What Drives Nushares ETF's Price Volatility?
Holdings and Allocation
Nushares ETF's volatility can rise when allocation drift or holdings turnover shifts across the Large Value category.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Nushares ETF's trading.Nushares ETF's Fund-Specific Factors
Fund flow dynamics, expense-ratio competitiveness, and index reconstitution events can create abrupt price dispersion in Nushares ETF.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of Nushares ETF is -34714.69. The daily returns are distributed with a variance of 0.5 and standard deviation of 0.71. The mean deviation of Nushares ETF Trust is currently at 0.55. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.9
α | Alpha over Dow Jones | 0.0047 | |
β | Beta against Dow Jones | -0.05 | |
σ | Overall volatility | 0.71 | |
Ir | Information ratio | 0.03 |
ETF Return Volatility
Nushares ETF return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The fund has volatility of 0.7094% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9156% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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
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Nushares ETF Constituents Risk-Adjusted Indicators
Nushares ETF ETF can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Nushares ETF's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Potential Upside | Value @Risk | Drawdown | ||
|---|---|---|---|---|---|---|---|
| LDEM | 1.09 | 0.05 | 0.05 | 2.46 | 6.10 | ||
| MDLV | 0.46 | -0.01 | 0.00 | 0.90 | 2.77 | ||
| EMSF | 1.67 | 0.41 | 0.20 | 3.71 | 8.98 | ||
| EFNL | 1.03 | 0.15 | 0.11 | 2.53 | 6.62 | ||
| INRO | 0.78 | 0.14 | 0.15 | 1.35 | 3.93 | ||
| MCSE | 0.64 | 0.01 | 0.03 | 1.26 | 3.58 | ||
| QDIV | 0.53 | -0.07 | 0.00 | 1.12 | 3.00 | ||
| KVLE | 0.65 | 0.04 | 0.07 | 1.55 | 4.21 | ||
| SAA | 1.73 | 0.09 | 0.03 | 4.34 | 7.86 | ||
| TCHI | 1.11 | 0.09 | 0.06 | 2.49 | 7.46 |
Risk Metrics, Assumptions & Methodology
Return dispersion for Nushares ETF quantifies how far daily or periodic returns deviate from the average across the measurement window. Higher dispersion implies a wider range of plausible outcomes for any given holding period.
Nushares ETF Trust figures are aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Nushares ETF Trust is less volatile than Dow Jones Industrial by approximately 1.3x 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 6% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Nushares ETF Trust with characteristics aligned to broad market upside participation. 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. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Nushares ETF probability analysis.
Very poor diversification
Nushares ETF currently posts a 0.86 correlation with Dow Jones, indicating a Very poor diversification relationship for the active sample. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Looking at additional risk metrics for Nushares ETF Trust frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0168 | |||
| Market Risk Adjusted Performance | -0.1 | |||
| Mean Deviation | 0.5561 | |||
| Semi Deviation | 0.6975 | |||
| Downside Deviation | 0.733 | |||
| Coefficient Of Variation | 4724.58 | |||
| Standard Deviation | 0.732 |
Nushares ETF Suggested Diversification Pairs
Pair trading with Nushares ETF hedges company-specific exposure by balancing a long view with an offsetting position. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Nushares ETF, market-wide risk remains. What pair trading can address is Nushares ETF's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.