EAFE Small-Cap Etf Volatility

SCZ
 Etf
  

USD 54.56  0.03  0.06%   

EAFE Small-Cap Ishares secures Sharpe Ratio (or Efficiency) of -0.21, which denotes the etf had -0.21% of return per unit of return volatility over the last 3 months. Macroaxis standpoint towards predicting the risk of any etf is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. EAFE Small-Cap Ishares exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm EAFE Small-Cap Ishares mean deviation of 1.06 to check the risk estimate we provide.
  
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EAFE Small-Cap Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of EAFE Small-Cap daily returns, and it is calculated using variance and standard deviation. We also use EAFE Small-Cap's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of EAFE Small-Cap volatility.

30 Days Market Risk

Very steady

Chance of Distress

Close to Average

30 Days Economic Sensitivity

Follows the market closely
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as EAFE Small-Cap can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of EAFE Small-Cap at lower prices. For example, an investor can purchase EAFE Small-Cap stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of EAFE Small-Cap's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with EAFE Small-Cap

0.99VSSFTSE All-World Ex-USPairCorr
1.0GWXSP Smallcap IntlPairCorr
0.98ISCFIntl Small-Cap MultiPairCorr
0.92DFISDimensional Intl SmallPairCorr
0.87SOJBSouthern Series 2PairCorr

Moving against EAFE Small-Cap

0.88SZKUltrashort Consumer GoodsPairCorr
0.68FNGDMicrosectors Fang -3XPairCorr
0.65VIXYTrust VIX Short-TermPairCorr
0.56BNOUS Brent OilPairCorr

EAFE Small-Cap Market Sensitivity And Downside Risk

EAFE Small-Cap's beta coefficient measures the volatility of EAFE Small-Cap etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents EAFE Small-Cap etf's returns against your selected market. In other words, EAFE Small-Cap's beta of 0.84 provides an investor with an approximation of how much risk EAFE Small-Cap etf can potentially add to one of your existing portfolios.
Let's try to break down what EAFE Small-Cap's beta means in this case. As returns on the market increase, EAFE Small-Cap returns are expected to increase less than the market. However, during the bear market, the loss on holding EAFE Small-Cap will be expected to be smaller as well.
3 Months Beta |Analyze EAFE Small-Cap Ishares Demand Trend
Check current 90 days EAFE Small-Cap correlation with market (DOW)

EAFE Small-Cap Beta

    
  0.84  
EAFE Small-Cap standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.41  
It is essential to understand the difference between upside risk (as represented by EAFE Small-Cap's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of EAFE Small-Cap stock's daily returns or price. Since the actual investment returns on holding a position in EAFE Small-Cap stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in EAFE Small-Cap.

EAFE Small-Cap Ishares Etf Volatility Analysis

Volatility refers to the frequency at which EAFE Small-Cap stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with EAFE Small-Cap's price changes. Investors will then calculate the volatility of EAFE Small-Cap's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of EAFE Small-Cap's volatility:

Historical Volatility

This type of stock volatility measures EAFE Small-Cap's fluctuations based on previous trends. It's commonly used to predict EAFE Small-Cap's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for EAFE Small-Cap's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. EAFE Small-Cap Ishares 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.
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EAFE Small-Cap Projected Return Density Against Market

Considering the 90-day investment horizon EAFE Small-Cap has a beta of 0.8401 . This usually implies as returns on the market go up, EAFE Small-Cap average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding EAFE Small-Cap Ishares will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to EAFE Small-Cap or iShares sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that EAFE Small-Cap stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a EAFE Small-Cap stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. EAFE Small-Cap Ishares is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
EAFE Small-Cap's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how EAFE Small-Cap stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

EAFE Small-Cap Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to EAFE Small-Cap or iShares sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that EAFE Small-Cap stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a EAFE Small-Cap stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Considering the 90-day investment horizon the coefficient of variation of EAFE Small-Cap is -477.93. The daily returns are distributed with a variance of 1.99 and standard deviation of 1.41. The mean deviation of EAFE Small-Cap Ishares is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-0.14
β
Beta against DOW0.84
σ
Overall volatility
1.41
Ir
Information ratio -0.08

EAFE Small-Cap Etf Return Volatility

EAFE Small-Cap historical daily return volatility represents how much EAFE Small-Cap stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF has volatility of 1.4109% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.4395% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About EAFE Small-Cap Volatility

Volatility is a rate at which the price of EAFE Small-Cap or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of EAFE Small-Cap may increase or decrease. In other words, similar to EAFE Small-Cap's beta indicator, it measures the risk of EAFE Small-Cap and helps estimate the fluctuations that may happen in a short period of time. So if prices of EAFE Small-Cap fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The fund generally will invest at least 80 percent of its assets in the component securities of the underlying index and in investments that have economic characteristics that are substantially identical to the component securities of the underlying index. EAFE Small-Cap is traded on NYSEArca Exchange in the United States.

EAFE Small-Cap Investment Opportunity

DOW has a standard deviation of returns of 1.44 and is 1.02 times more volatile than EAFE Small-Cap Ishares. 12  of all equities and portfolios are less risky than EAFE Small-Cap. Compared to the overall equity markets, volatility of historical daily returns of EAFE Small-Cap Ishares is lower than 12 () of all global equities and portfolios over the last 90 days. Use EAFE Small-Cap Ishares to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of EAFE Small-Cap to be traded at $54.01 in 90 days. . Let's try to break down what EAFE Small-Cap's beta means in this case. As returns on the market increase, EAFE Small-Cap returns are expected to increase less than the market. However, during the bear market, the loss on holding EAFE Small-Cap will be expected to be smaller as well.

Very poor diversification

The correlation between EAFE Small-Cap Ishares and DJI is Very poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding EAFE Small-Cap Ishares and DJI in the same portfolio, assuming nothing else is changed.

EAFE Small-Cap Additional Risk Indicators

The analysis of EAFE Small-Cap's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in EAFE Small-Cap's investment and either accepting that risk or mitigating it. Along with some common measures of EAFE Small-Cap stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.29)
Market Risk Adjusted Performance(0.35)
Mean Deviation1.06
Coefficient Of Variation(482.69)
Standard Deviation1.4
Variance1.96
Information Ratio(0.08)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

EAFE Small-Cap Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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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 EAFE Small-Cap 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. EAFE Small-Cap'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, EAFE Small-Cap'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 EAFE Small-Cap Ishares.
Additionally, take a look at World Market Map. Note that the EAFE Small-Cap Ishares information on this page should be used as a complementary analysis to other EAFE Small-Cap's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.

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The market value of EAFE Small-Cap Ishares is measured differently than its book value, which is the value of EAFE Small-Cap that is recorded on the company's balance sheet. Investors also form their own opinion of EAFE Small-Cap's value that differs from its market value or its book value, called intrinsic value, which is EAFE Small-Cap's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because EAFE Small-Cap's market value can be influenced by many factors that don't directly affect EAFE Small-Cap's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between EAFE Small-Cap's value and its price as these two are different measures arrived at by different means. Investors typically determine EAFE Small-Cap value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, EAFE Small-Cap's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.