SPDR SP Risk Analysis

SPDR SP Dividend ETF -- USA Etf  

USD 92.03  0.33  0.36%

Macroaxis considers SPDR SP to be not too risky. SPDR SP Dividend owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1901 which indicates SPDR SP Dividend had -0.1901% of return per unit of volatility over the last 1 month. Macroaxis approach towards measuring 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. SPDR SP Dividend ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SPDR SP Risk Adjusted Performance of 0.32 and Coefficient Of Variation of 548.04 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

SPDR SP Market Sensitivity

As returns on market increase, SPDR SP returns are expected to increase less than the market. However during bear market, the loss on holding SPDR SP will be expected to be smaller as well.
One Month Beta |Analyze SPDR SP Dividend Demand Trend
Check current 30 days SPDR SP correlation with market (DOW)
β = 0.6865
SPDR SP Small BetaSPDR SP Dividend Beta Legend

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 0.6865 . This entails as returns on market go up, SPDR SP average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SPDR SP Dividend ETF will be expected to be much smaller as well. Additionally, SPDR SP Dividend 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 
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is -526.04. The daily returns are destributed with a variance of 1.51 and standard deviation of 1.23. The mean deviation of SPDR SP Dividend ETF is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 1.72
α
Alpha over DOW
=0.09
β
Beta against DOW=0.69
σ
Overall volatility
=1.23
Ir
Information ratio =0.01

Actual Return Volatility

SPDR SP Dividend ETF has volatility of 1.2277% on return distribution over 30 days investment horizon. DOW inherits 1.7188% 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

Almost imposible

30 Days Economic Sensitivity

Follows market closely

Largest Trends

SPDR SP Largest Period Trend

Investment Outlook

SPDR SP Investment Opportunity
DOW has a standard deviation of returns of 1.72 and is 1.4 times more volatile than SPDR SP Dividend ETF. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use SPDR SP Dividend ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of SPDR SP to be traded at $96.63 in 30 days. As returns on market increase, SPDR SP returns are expected to increase less than the market. However during bear market, the loss on holding SPDR SP will be expected to be smaller as well.

SPDR SP correlation with market

Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Dividend ETF and equity matching DJI index in the same portfolio.