VictoryShares Emerging Markets ETF Volatility
| UEVM ETF | USD 61.57 -0.20 -0.32% |
Sharpe Ratio = 0.042
Expected Return ↓
Minimal
Low
Moderate
Elevated
High
Leading
Strong
Moderate
Modest
Flat
Below
Ideal
UEVM
Worst
← Lower RiskHigher Risk →
VictoryShares Emerging Markets'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%. Monthly performance data shows the ETF operating at about 3% of its measured historical range.
Key indicators related to VictoryShares Emerging's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for VictoryShares Emerging (3 Months):
Beta 0.97 | Alpha 0.07 | Risk 1.25 | Sharpe Ratio 0.04 | Expected Return 0.05 |
Moving together with VictoryShares ETF
| 0.94 | VWO | Vanguard FTSE Emerging | PairCorr |
| 0.89 | IEMG | iShares Core MSCI | PairCorr |
| 0.9 | EMC | Global X Emerging | PairCorr |
| 0.89 | EEM | iShares MSCI Emerging Aggressive Push | PairCorr |
| 0.95 | SPEM | SPDR Portfolio Emerging | PairCorr |
| 0.94 | FNDE | Schwab Fundamental | PairCorr |
| 0.9 | ESGE | iShares ESG Aware | PairCorr |
| 0.92 | SFGRX | Seafarer Overseas | PairCorr |
| 0.95 | DGS | WisdomTree Emerging | PairCorr |
| 0.87 | XSOE | WisdomTree Emerging | PairCorr |
| 0.8 | TOT | Lionshares Equity Total | PairCorr |
| 0.92 | SWP | SWP Growth Income | PairCorr |
| 0.77 | IND | Xtrackers Nifty 500 | PairCorr |
| 0.8 | SPLS | PIMCO Stocks PLUS | PairCorr |
| 0.82 | EDGU | 3EDGE Dynamic Equity | PairCorr |
| 0.78 | ECOW | Pacer Emerging Markets | PairCorr |
| 0.83 | LDUR | PIMCO Enhanced Low | PairCorr |
| 0.93 | ICPY | Tweedy Browne | PairCorr |
| 0.8 | AXP | American Express | PairCorr |
| 0.82 | JPM | JPMorgan Chase | PairCorr |
Moving Against VictoryShares ETF
Sensitivity To Market
The beta coefficient of 0.97 for VictoryShares Emerging Markets measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.25%. This analysis separates observed movement from interpretation for VictoryShares Emerging Markets. Standard deviation (1.27%) and downside deviation (1.29%) describe the range without implying direction. ETF volatility includes tracking difference effects, fees, and trading friction on top of index movement. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |VictoryShares Emerging Demand TrendCurrent 90-day VictoryShares Emerging correlation with market (Dow Jones Industrial)Downside Risk
VictoryShares standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for VictoryShares over successive periods signals increasing price uncertainty.
Standard Deviation | 1.25 |
Upside risk in VictoryShares Emerging is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in VictoryShares Emerging's returns. VictoryShares Emerging Markets's financial profile includes a Downside Deviation of 1.29, a Downside Variance of 1.67, and a Maximum Drawdown of 5.57.
ETF Volatility Analysis
VictoryShares Emerging ETF volatility is a key input for most investment risk models. When VictoryShares Emerging's volatility is elevated, prices swing by several percentage points in a single session.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of VictoryShares Emerging'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, VictoryShares Emerging has a beta of 0.973. This usually implies VictoryShares Emerging Markets market returns are highly reactive to returns on the market. As the market goes up or down, VictoryShares Emerging tends to follow.The aggregate risk of VictoryShares Emerging includes ETF market sensitivity and asset-level influences. Diversification addresses specific risk but not systemic exposure. VictoryShares Emerging Markets's financial profile includes a Downside Deviation of 1.29, a Mean Deviation of 0.95, and a Semi Deviation of 1.17.
Predicted Return Distribution |
| Density |
What Drives VictoryShares Emerging's Price Volatility?
Holdings and Allocation
Exposure changes, asset reallocation, or index methodology updates in the Diversified Emerging Mkts category can alter VictoryShares Emerging's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for VictoryShares Emerging.VictoryShares Emerging's Fund-Specific Factors
Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in VictoryShares Emerging's price.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of VictoryShares Emerging is 2378.83. The daily returns are distributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of VictoryShares Emerging Markets is currently at 0.92. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 0.97 | |
σ | Overall volatility | 1.25 | |
Ir | Information ratio | 0.05 |
ETF Return Volatility
Volatility for VictoryShares Emerging quantifies the day-to-day dispersion of ETF returns around their historical average. The ETF carries 1.2546% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9279% 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
|
VictoryShares Emerging Constituents Risk-Adjusted Indicators
Headline performance for VictoryShares ETF may not fully reflect how the business compares across its competitive set. Reviewing VictoryShares Emerging'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 | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| UIVM | 1.03 | 0.09 | 0.07 | 0.09 | 1.18 | 2.49 | 5.76 | |||
| FDEM | 1.20 | 0.15 | 0.10 | 0.13 | 1.41 | 2.64 | 6.33 | |||
| FTXO | 1.14 | -0.05 | 0.00 | -0.03 | 0.00 | 2.07 | 7.43 | |||
| DINT | 1.14 | 0.05 | 0.03 | 0.05 | 1.36 | 2.62 | 6.11 | |||
| FLCH | 0.89 | -0.04 | 0.00 | -0.04 | 0.00 | 1.84 | 5.50 | |||
| CHIQ | 1.05 | -0.09 | 0.00 | -0.07 | 0.00 | 2.30 | 6.75 | |||
| EWM | 0.83 | 0.05 | 0.04 | 0.09 | 0.99 | 1.68 | 4.18 | |||
| HOLA | 0.56 | 0.01 | 0.00 | 0.02 | 0.78 | 1.26 | 3.61 | |||
| CSB | 0.62 | 0.03 | 0.03 | 0.07 | 0.75 | 1.37 | 3.41 | |||
| GUSH | 3.00 | 0.81 | 0.17 | -0.54 | 3.80 | 6.66 | 17.45 |
Risk Metrics, Assumptions & Methodology
Return dispersion for VictoryShares Emerging quantifies how far daily or periodic returns deviate from the average across the measurement window. Tracking dispersion across rolling windows reveals whether variability is stable, expanding, or contracting.
VictoryShares Emerging Markets 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: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that VictoryShares Emerging Markets is more volatile than Dow Jones Industrial by approximately 1.34x 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.VictoryShares Emerging Markets 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 works best as a directional cue rather than as a standalone forecast. 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 VictoryShares Emerging probability analysis.
Minimal diversification benefit
The correlation between VictoryShares Emerging and Dow Jones is 0.9, which Macroaxis classifies as Minimal diversification benefit for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Secondary risk indicators for VictoryShares Emerging Markets evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.0679 | |||
| Market Risk Adjusted Performance | 0.0886 | |||
| Mean Deviation | 0.9489 | |||
| Semi Deviation | 1.17 | |||
| Downside Deviation | 1.29 | |||
| Coefficient Of Variation | 1471.44 | |||
| Standard Deviation | 1.27 |
VictoryShares Emerging Suggested Diversification Pairs
A pair-trading setup around VictoryShares Emerging shifts the return benchmark from the broad market to a second position, altering the risk profile. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. VictoryShares Emerging's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing VictoryShares Emerging's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.