iShares 0 5 Year ETF Volatility
| STIP ETF | USD 103.63 0.03 0.03% |
Sharpe Ratio = 0.1455
Expected Return ↓
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iShares 0 5 Year (STIP) recorded a Market Risk Adjusted Performance of -0.8%, a Risk of 0.15, and a Risk Adjusted Performance of 0.1%. The ETF reflects approximately 11% of its established trend range based on monthly averages.
Key indicators related to IShares 0's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares 0 (3 Months):
Beta -0.02 | Alpha 0.01 | Risk 0.15 | Sharpe Ratio 0.15 | Expected Return 0.02 |
Assets With Similar Volatility
| 0.99 | TDTT | FlexShares iBoxx 3 Year | PairCorr |
| 0.86 | TIPX | SPDR Bloomberg 1 10 | PairCorr |
| 0.97 | STPZ | PIMCO 1 5 Year | PairCorr |
| 0.99 | PBTP | Invesco PureBeta 0 5 | PairCorr |
| 0.72 | LUX | Tema Global | PairCorr |
| 0.91 | FB | ProShares Trust ProShares | PairCorr |
| 0.76 | HUM | Humana Inc | PairCorr |
| 0.61 | SPLS | PIMCO Stocks PLUS | PairCorr |
| 0.61 | SPTM | SPDR Portfolio SAMPP | PairCorr |
| 0.76 | MBSF | Valued Advisers Trust | PairCorr |
| 0.67 | ROUS | Hartford Multifactor Equity | PairCorr |
| 0.78 | IYW | iShares Technology ETF | PairCorr |
| 0.62 | PBUS | Invesco PureBeta MSCI | PairCorr |
| 0.74 | SPBW | AllianzIM Buffer20 Allocation | PairCorr |
| 0.82 | GBTC | Grayscale Bitcoin Trust | PairCorr |
| 0.74 | BRNY | Burney Factor Rotation | PairCorr |
| 0.99 | VTIP | Vanguard Short Term Inflation Protected | PairCorr |
| 0.81 | ICVT | iShares Convertible Bond | PairCorr |
Lower Correlation Assets
| 0.83 | FNGD | MicroSectors FANG Index | PairCorr |
| 0.55 | SHLD | Global X Defense | PairCorr |
| 0.33 | IND | Xtrackers Nifty 500 | PairCorr |
Sensitivity To Market
IShares 0 beta coefficient measures the volatility of IShares 0 ETF relative to the systematic risk of the broad market benchmark. A beta of -0.0164 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.15%. iShares 0 5 Year has shown noticeable price swings over the selected period. Downside deviation is about 0.13% and standard deviation is about 0.15%, 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 0 5 Demand TrendCurrent 90-day IShares 0 correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far IShares 0 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 0 on a common scale for cross-instrument volatility ranking. This dispersion metric remains a common starting point for assessing IShares 0 price volatility.
Standard Deviation | 0.15 |
For IShares 0, 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 0's returns. Total price dispersion for IShares 0 includes upside moves that do not represent loss risk. Using both metrics together provides a more complete view of IShares 0's risk characteristics. iShares 0 5 Year (STIP) recorded a Downside Deviation of 0.13, a Downside Variance of 0.02, and a Maximum Drawdown of 1.25.
ETF Volatility Analysis
Volatility describes the degree to which IShares 0 ETF price fluctuates in either direction. It captures how much IShares 0's price fluctuates, which is relevant to allocation calibration. Volatility in IShares 0 reflects the degree of uncertainty around IShares 0's ETF price. Periods of elevated volatility in IShares 0 reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between iShares 0 5'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 0 5 Year has a beta of -0.0164. This usually implies that as returns on the benchmark increase, returns on IShares 0 tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, iShares 0 5 Year tends to outperform the market.Systematic risk links IShares 0 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. iShares 0 5 Year (STIP) recorded a Downside Deviation of 0.13, a Mean Deviation of 0.10, and a Standard Deviation of 0.15.
Predicted Return Distribution |
| Density |
What Drives IShares 0's Price Volatility?
Holdings and Allocation
Changes in underlying holdings, sector weights, and rebalancing activity within the Short-Term Inflation-Protected Bond category can influence IShares 0'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 0.IShares 0'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 0's shares.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of IShares 0 is 687.34. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.15. The mean deviation of iShares 0 5 Year is currently at 0.1. 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 | -0.0164 | |
σ | Overall volatility | 0.15 | |
Ir | Information ratio | 0.11 |
ETF Return Volatility
IShares 0 historical daily return volatility represents how much of IShares 0 ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF reported 0.1511% 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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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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IShares 0 Competition Risk-Adjusted Indicators
Strong recent returns in IShares 0 ETF do not always mean IShares 0 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 | 1.69 | -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
Return dispersion for IShares 0 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 0 5 Year 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 0 5 Year is less volatile than Dow Jones Industrial by approximately 6.13x 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 1% 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 0 5 Year with characteristics aligned to broad market upside participation. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View IShares 0 probability analysis.
Good diversification
For the present investment horizon, the measured correlation between IShares 0 and Dow Jones stands at 0.12, or Good diversification. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
A broader risk-indicator set for iShares 0 5 Year extends the analysis beyond standard volatility and risk measures. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.0995 | |||
| Market Risk Adjusted Performance | -0.83 | |||
| Mean Deviation | 0.0988 | |||
| Downside Deviation | 0.1338 | |||
| Coefficient Of Variation | 625.28 | |||
| Standard Deviation | 0.1491 | |||
| Variance | 0.0222 |
IShares 0 Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between iShares 0 5 Year and comparable securities. 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 0 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 0'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 0'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 0 5 Year.