iShares MSCI USA ETF Volatility
| SIZE ETF | USD 171.33 -0.03 -0.02% |
Sharpe Ratio = 0.031
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For iShares MSCI USA, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 0.94, and a Risk Adjusted Performance of 0.1%. Based on monthly moving averages, the ETF is operating near 2% of its historical performance range.
Key indicators related to IShares MSCI's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares MSCI (3 Months):
Beta 0.92 | Alpha 0.05 | Risk 0.94 | Sharpe Ratio 0.03 | Expected Return 0.03 |
Assets With Similar Volatility
| 0.99 | VO | Vanguard Mid Cap Index | PairCorr |
| 0.95 | VXF | Vanguard Extended Market | PairCorr |
| 0.98 | IJH | iShares Core SAMPP | PairCorr |
| 0.98 | IWR | iShares Russell Mid Cap | PairCorr |
| 0.98 | MDY | SPDR SAMPP MIDCAP | PairCorr |
| 0.95 | FV | First Trust Dorsey | PairCorr |
| 0.98 | IVOO | Vanguard SAMPP Mid Cap | PairCorr |
| 0.99 | JHMM | John Hancock Multifactor | PairCorr |
| 0.97 | BBMC | JPMorgan BetaBuilders Mid | PairCorr |
| 0.73 | XMMO | Invesco SAMPP MidCap | PairCorr |
| 0.94 | VTI | Vanguard Total Stock | PairCorr |
| 0.93 | SPY | SPDR SAMPP 500 | PairCorr |
| 0.93 | IVV | iShares Core SAMPP | PairCorr |
| 0.94 | TOT | Lionshares Equity Total | PairCorr |
| 0.72 | IRE | Defiance Daily Target Trending | PairCorr |
| 0.96 | VTV | Vanguard Value Index | PairCorr |
| 0.87 | VUG | Vanguard Growth Index | PairCorr |
| 0.92 | ROUS | Hartford Multifactor Equity | PairCorr |
| 0.94 | IWV | iShares Russell 3000 | PairCorr |
| 0.94 | SMMD | iShares Russell 2500 | PairCorr |
| 0.78 | IYW | iShares Technology ETF | PairCorr |
| 0.85 | HTAX | Macquarie ETF Trust | PairCorr |
| 0.84 | BRNY | Burney Factor Rotation | PairCorr |
| 0.93 | VRP | Invesco Variable Rate | PairCorr |
Sensitivity To Market
IShares MSCI beta coefficient measures the volatility of IShares MSCI ETF relative to the systematic risk of the broad market benchmark. A beta of 0.92 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.94%. iShares MSCI USA has shown noticeable price swings over the selected period. Downside deviation is about 0.89% and standard deviation is about 0.97%, 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 MSCI USA Demand TrendCurrent 90-day IShares MSCI correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far IShares MSCI 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 | 0.94 |
It is essential to understand the difference between upside risk and downside risk for IShares MSCI. Total volatility includes favorable moves, while downside deviation isolates the loss risk in IShares MSCI's daily returns. For iShares MSCI USA, recent data highlights a Downside Deviation of 0.89, a Downside Variance of 0.80, and a Maximum Drawdown of 4.07.
ETF Volatility Analysis
Volatility refers to the frequency at which IShares MSCI ETF price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same ETF.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between iShares MSCI USA's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
Given a 90-day horizon, IShares MSCI has a beta of 0.9164. This usually implies iShares MSCI USA market returns are highly-sensitive to returns on the market. As the market goes up or down, IShares MSCI tends to follow.IShares MSCI is exposed to both systematic and unsystematic risk. Systematic risk reflects broader ETF market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. For iShares MSCI USA, recent data highlights a Downside Deviation of 0.89, a Mean Deviation of 0.73, and a Semi Deviation of 0.82.
Predicted Return Distribution |
| Density |
What Drives IShares MSCI's Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Mid-Cap Blend category can influence IShares MSCI'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 MSCI.IShares MSCI'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 MSCI's shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of IShares MSCI is 3224.3. The daily returns are distributed with a variance of 0.88 and standard deviation of 0.94. The mean deviation of iShares MSCI USA is currently at 0.69. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.05 | |
β | Beta against Dow Jones | 0.92 | |
σ | Overall volatility | 0.94 | |
Ir | Information ratio | 0.05 |
ETF Return Volatility
IShares MSCI historical daily return volatility represents how much of IShares MSCI ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.9363% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9236% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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IShares MSCI Constituents Risk-Adjusted Indicators
Strong recent returns in IShares MSCI ETF do not always mean IShares MSCI ETF is outperforming peers on business quality. Risk-adjusted metrics help compare IShares MSCI's efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EWD | 1.34 | -0.04 | 0.00 | -0.03 | 0.00 | 2.82 | 7.68 | |||
| GVUS | 0.64 | 0.08 | 0.10 | 0.09 | 0.68 | 1.86 | 3.57 | |||
| BLUX | 0.82 | 0.11 | 0.10 | 0.10 | 0.97 | 1.66 | 4.58 | |||
| JPME | 0.66 | 0.07 | 0.08 | 0.09 | 0.79 | 1.69 | 4.27 | |||
| AGOX | 1.28 | 0.23 | 0.17 | 0.22 | 1.22 | 3.30 | 8.29 | |||
| QVMM | 0.86 | 0.09 | 0.08 | 0.08 | 0.98 | 2.07 | 5.36 | |||
| GQRE | 0.69 | 0.07 | 0.08 | 0.10 | 0.86 | 1.41 | 4.24 | |||
| SFLO | 0.85 | 0.16 | 0.14 | 0.20 | 0.94 | 1.72 | 5.92 | |||
| SMOT | 0.69 | 0.02 | 0.03 | 0.02 | 0.79 | 1.45 | 3.74 | |||
| DMAR | 0.20 | 0.08 | 0.30 | 0.30 | 0.00 | 0.48 | 1.68 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for IShares MSCI identifies whether the fund is currently in a high, low, or transitioning dispersion state. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
iShares MSCI USA values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that iShares MSCI USA is more volatile than Dow Jones Industrial by approximately 1.02x 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 8% 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 MSCI USA exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. 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 MSCI probability analysis.
Minimal diversification benefit
IShares MSCI currently posts a 0.94 correlation with Dow Jones, indicating a Minimal diversification benefit relationship for the active sample. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Looking at additional risk metrics for iShares MSCI USA frames how the position may behave under different market and portfolio conditions. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.057 | |||
| Market Risk Adjusted Performance | 0.0615 | |||
| Mean Deviation | 0.7305 | |||
| Semi Deviation | 0.8177 | |||
| Downside Deviation | 0.8919 | |||
| Coefficient Of Variation | 1694.28 | |||
| Standard Deviation | 0.9684 |
IShares MSCI Suggested Diversification Pairs
Pair trading with IShares MSCI hedges company-specific exposure by balancing a long view with an offsetting position. 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 IShares MSCI 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 MSCI'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 MSCI'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 MSCI USA.
More Resources for IShares MSCI ETF Analysis
Understanding iShares MSCI USA includes distinguishing between market price and NAV, where NAV reflects IShares MSCI portfolio value. For IShares MSCI, valuation encompasses the fund's cost structure, asset allocation, and how closely it follows its index.
IShares MSCI's NAV reflects portfolio composition, while price reflects real-time supply and demand. The quoted IShares MSCI price is the exchange level where supply meets demand.