iShares Core REIT ETF Volatility
| USRT ETF | USD 64.76 -0.48 -0.74% |
Sharpe Ratio = 0.1337
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iShares Core REIT (USRT) recorded a Market Risk Adjusted Performance of 0.2%, a Risk of 0.89, and a Risk Adjusted Performance of 0.1%. Monthly moving average analysis places it at roughly 10% of its prior performance bandwidth.
Key indicators related to IShares Core's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares Core (3 Months):
Beta 0.53 | Alpha 0.11 | Risk 0.89 | Sharpe Ratio 0.13 | Expected Return 0.12 |
Moving together with IShares Core ETF
| 0.99 | VNQ | Vanguard Real Estate | PairCorr |
| 0.99 | XLRE | Real Estate | PairCorr |
| 0.98 | IYR | iShares Real Estate | PairCorr |
| 0.99 | ICF | iShares Cohen Steers | PairCorr |
| 0.9 | IRET | iREIT MarketVector | PairCorr |
| 0.78 | ARKW | ARK Next Generation Low Volatility | PairCorr |
| 0.94 | EWC | iShares MSCI Canada | PairCorr |
| 0.77 | HUM | Humana Inc | PairCorr |
| 0.84 | FTLS | First Trust LongShort | PairCorr |
| 0.76 | CNXT | VanEck ChiNext ETF | PairCorr |
| 0.66 | DIS | Walt Disney Aggressive Push | PairCorr |
| 0.61 | WMT | Walmart | PairCorr |
| 0.64 | BAC | Bank of America | PairCorr |
Sensitivity To Market
iShares Core REIT beta of 0.53 quantifies how much of its total volatility (0.89%) is attributable to market-wide factors versus idiosyncratic drivers. iShares Core REIT return dispersion over the lookback window shows standard deviation near 0.89% and semi-deviation near 0.82%, providing a baseline for comparison across peer instruments. 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 |iShares Core REIT Demand TrendCurrent 90-day IShares Core correlation with market (Dow Jones Industrial)Downside Risk
IShares Core daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. Shifting the lookback window for IShares Core reveals whether current dispersion is consistent with its longer-term pattern. Changes in IShares Core standard deviation over successive periods may signal shifts in the underlying return regime.
Standard Deviation | 0.89 |
An important distinction for IShares Core is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in IShares Core's daily returns from favorable moves. Total dispersion for IShares Core captures both favorable and adverse price swings. Downside deviation focuses exclusively on the adverse side of IShares Core's return distribution. iShares Core REIT (USRT) recorded a Downside Deviation of 1.00, a Downside Variance of 1.00, and a Maximum Drawdown of 4.57.
ETF Volatility Analysis
Tracking IShares Core volatility quantifies the degree of price uncertainty over a given period. Highly volatile ETFs like IShares Core tend to experience wider price swings in both directions. Periods of high volatility for IShares Core present both elevated risk and wider price ranges for traders. When IShares Core experiences high volatility, its ETF price shifts dramatically in a short period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of iShares Core REIT'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, IShares Core has a beta of 0.534. This usually implies as returns on the market go up, IShares Core's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding iShares Core REIT tends to be smaller as well.Market risk ties IShares Core to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. iShares Core REIT (USRT) recorded a Downside Deviation of 1.00, a Mean Deviation of 0.67, and a Semi Deviation of 0.82.
Predicted Return Distribution |
| Density |
What Drives IShares Core's Price Volatility?
Holdings and Allocation
Shifts in underlying asset weights and category-level catalysts in the Real Estate category often set the baseline volatility regime for IShares Core.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.IShares Core's Fund-Specific Factors
NAV premium shifts, flow-driven supply-demand imbalance, and rebalancing events can shift near-term return dispersion for IShares Core's.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of IShares Core is 748.09. The daily returns are distributed with a variance of 0.8 and standard deviation of 0.89. The mean deviation of iShares Core REIT is currently at 0.67. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | 0.11 | |
β | Beta against Dow Jones | 0.53 | |
σ | Overall volatility | 0.89 | |
Ir | Information ratio | 0.12 |
ETF Return Volatility
IShares Core daily volatility tracks how widely ETF returns have moved around the mean across the selected time frame. The exchange-traded fund reflects 0.8931% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9238% 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 Core Constituents Risk-Adjusted Indicators
Return momentum in IShares Core ETF is more useful when tested against peer-relative fundamentals and risk. Reviewing IShares Core'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| IYH | 0.71 | -0.13 | 0.00 | -0.20 | 0.00 | 1.62 | 3.53 | |||
| IMCG | 0.96 | 0.12 | 0.10 | 0.12 | 1.12 | 2.04 | 5.24 | |||
| ILCG | 1.01 | 0.16 | 0.13 | 0.17 | 1.09 | 2.03 | 5.37 | |||
| ITB | 1.46 | -0.25 | 0.00 | -0.18 | 0.00 | 3.51 | 8.96 | |||
| LRGF | 0.71 | 0.07 | 0.08 | 0.10 | 0.79 | 1.28 | 3.61 | |||
| SLYG | 0.94 | 0.09 | 0.08 | 0.09 | 1.12 | 2.31 | 4.50 | |||
| IFRA | 0.81 | 0.08 | 0.08 | 0.12 | 0.88 | 1.96 | 4.26 | |||
| NLR | 2.14 | 0.03 | 0.01 | 0.02 | 2.69 | 4.76 | 10.91 | |||
| EWU | 0.95 | -0.03 | 0.00 | -0.02 | 0.00 | 2.13 | 5.45 | |||
| IYR | 0.69 | 0.07 | 0.07 | 0.13 | 0.90 | 1.60 | 4.50 |
Risk Metrics, Assumptions & Methodology
Return dispersion for IShares Core quantifies how far daily or periodic returns deviate from the average across the measurement window. Dispersion compression can indicate low-information regimes where prices drift on thin conviction.
iShares Core REIT inputs come from fund disclosures and market reference feeds and are mapped into a consistent reporting framework. 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 iShares Core REIT is less volatile than Dow Jones Industrial by approximately 1.03x 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 7% 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 Core REIT exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View IShares Core probability analysis.
Poor diversification
Across the chosen horizon, IShares Core and Dow Jones show a correlation of 0.76 and fall into the Poor diversification bucket. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Risk analysis around iShares Core REIT 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 | 0.1284 | |||
| Market Risk Adjusted Performance | 0.2148 | |||
| Mean Deviation | 0.6696 | |||
| Semi Deviation | 0.8244 | |||
| Downside Deviation | 1.0 | |||
| Coefficient Of Variation | 748.09 | |||
| Standard Deviation | 0.8931 |
IShares Core Suggested Diversification Pairs
A paired position built around iShares Core REIT 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.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for IShares Core persists even in a well-constructed pair. The benefit is in offsetting IShares Core's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of iShares Core REIT.