SPDR SP Risk Analysis And Volatility Evaluation

SDY -- USA Etf  

USD 92.49  0.01  0.0108%

We consider SPDR SP not too risky. SPDR SP Dividend owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1608 which indicates SPDR SP Dividend had 0.1608% of return per unit of volatility over the last 1 month. Our approach towards measuring 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 SPDR SP Dividend ETF which you can use to evaluate future volatility of the etf. Please validate SPDR SP Risk Adjusted Performance of 0.01 and Coefficient Of Variation of 708.55 to confirm if risk estimate we provide are consistent with the epected return of 0.0834%.
 Time Horizon     30 Days    Login   to change

SPDR SP Dividend Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. SPDR SP Dividend 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

Considering 30-days investment horizon, SPDR SP has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and SPDR SP are completely uncorrelated. Furthermore, SPDR SP Dividend ETFIt does not look like SPDR SP alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is 621.85. The daily returns are destributed with a variance of 0.27 and standard deviation of 0.52. The mean deviation of SPDR SP Dividend ETF is currently at 0.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.52
Ir
Information ratio =0.14

Actual Return Volatility

SPDR SP Dividend ETF has volatility of 0.5187% on return distribution over 30 days investment horizon. DOW inherits 0.5761% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SPDR SP Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

SPDR SP Investment Opportunity
DOW has a standard deviation of returns of 0.58 and is 1.12 times more volatile than SPDR SP Dividend ETF. 4% of all equities and portfolios are less risky than SPDR SP. Compared to the overall equity markets, volatility of historical daily returns of SPDR SP Dividend ETF is lower than 4 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

SPDR SP Current Risk Indicators
Also please take a look at World Market Map. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.