iShares Short Risk Analysis And Volatility Evaluation

NEAR -- USA Etf  

USD 50.11  0.01  0.02%

Macroaxis considers iShares Short to be not too risky. iShares Short Maturity shows Sharpe Ratio of -0.013 which attests that iShares Short Maturity had -0.013% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. iShares Short Maturity exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iShares Short Maturity Market Risk Adjusted Performance of 1.42 and Mean Deviation of 0.0421 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

iShares Short Market Sensitivity

As returns on market increase, iShares Short returns are expected to increase less than the market. However during bear market, the loss on holding iShares Short will be expected to be smaller as well.
One Month Beta |Analyze iShares Short Maturity Demand Trend
Check current 30 days iShares Short correlation with market (DOW)
β = 0.0076
iShares Short Small BetaiShares Short Maturity Beta Legend

iShares Short Maturity Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. iShares Short Maturity Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, iShares Short has beta of 0.0076 indicating as returns on market go up, iShares Short average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iShares Short Maturity Bond ETF will be expected to be much smaller as well. Additionally, iShares Short Maturity Bond ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of iShares Short is -7674.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.07. The mean deviation of iShares Short Maturity Bond ETF is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.01
β
Beta against DOW=0.0076
σ
Overall volatility
=0.07
Ir
Information ratio =2.09

Actual Return Volatility

iShares Short Maturity Bond ETF inherits 0.0657% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6284% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iShares Short Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

iShares Short Investment Opportunity
DOW has a standard deviation of returns of 0.63 and is 9.0 times more volatile than iShares Short Maturity Bond ETF. 0% of all equities and portfolios are less risky than iShares Short. Compared to the overall equity markets, volatility of historical daily returns of iShares Short Maturity Bond ETF is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use iShares Short Maturity Bond ETF to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iShares Short to be traded at $49.61 in 30 days. As returns on market increase, iShares Short returns are expected to increase less than the market. However during bear market, the loss on holding iShares Short will be expected to be smaller as well.

iShares Short correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding iShares Short Maturity Bond ET and equity matching DJI index in the same portfolio.
Please see also Stocks Correlation. Please also try Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.