iShares Short Risk Analysis

iShares Short Maturity Bond -- USA Etf  

USD 50.21  0.01  0.0199%

We consider iShares Short not too risky. iShares Short Maturity shows Sharpe Ratio of 0.2743 which attests that iShares Short Maturity had 0.2743% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for iShares Short Maturity which you can use to evaluate future volatility of the etf. Please check out iShares Short Maturity Market Risk Adjusted Performance of (1.06) and Mean Deviation of 0.0245 to validate if risk estimate we provide are consistent with the epected return of 0.0073%.
 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 = 0.0068
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 0.0068 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 will be expected to be much smaller as well. Additionally, iShares Short Maturity Bond 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 364.62. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.03. The mean deviation of iShares Short Maturity Bond is currently at 0.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.0088
β
Beta against DOW=0.0068
σ
Overall volatility
=0.0268
Ir
Information ratio =6.5

Actual Return Volatility

iShares Short Maturity Bond inherits 0.0268% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4644% 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

Largest Trends

iShares Short Largest Period Trend
 50.1 
  
 50.12 
0.02  0.03992%
Lowest period price (30 days)
 50.21 
  
 50.22 
0.01  0.019916%
Highest period price (30 days)

Investment Outlook

iShares Short Investment Opportunity
DOW has a standard deviation of returns of 0.46 and is 15.33 times more volatile than iShares Short Maturity Bond. 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 is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use iShares Short Maturity Bond to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iShares Short to be traded at $49.71 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 and equity matching DJI index in the same portfolio.

Volatility Indicators

iShares Short Current Risk Indicators