SPDR Portfolio Risk Analysis And Volatility Evaluation

SPIB -- USA Etf  

USD 33.00  0.01  0.0303%

Macroaxis considers SPDR Portfolio to be not too risky. SPDR Portfolio Interm owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2215 which indicates SPDR Portfolio Interm had -0.2215% 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 Portfolio Interm Term Corp Bd 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 Portfolio Risk Adjusted Performance of 0.26 and Coefficient Of Variation of 546.38 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SPDR Portfolio Market Sensitivity

As returns on market increase, SPDR Portfolio returns are expected to increase less than the market. However during bear market, the loss on holding SPDR Portfolio will be expected to be smaller as well.
One Month Beta |Analyze SPDR Portfolio Interm Demand Trend
Check current 30 days SPDR Portfolio correlation with market (DOW)
β = 0.0377
SPDR Portfolio Small BetaSPDR Portfolio Interm Beta Legend

SPDR Portfolio Interm Technical Analysis

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

SPDR Portfolio Projected Return Density Against Market

Given the investment horizon of 30 days, SPDR Portfolio has beta of 0.0377 . This entails as returns on market go up, SPDR Portfolio average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SPDR Portfolio Interm Term Corp Bd ETF will be expected to be much smaller as well. Additionally, SPDR Portfolio Interm Term Corp Bd 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 SPDR Portfolio is -451.51. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.15. The mean deviation of SPDR Portfolio Interm Term Corp Bd ETF is currently at 0.12. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0377
σ
Overall volatility
=0.15
Ir
Information ratio =0.91

SPDR Portfolio Return Volatility

SPDR Portfolio Interm Term Corp Bd ETF inherits 0.1483% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.088% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SPDR Portfolio Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

SPDR Portfolio Investment Opportunity

DOW has a standard deviation of returns of 1.09 and is 7.27 times more volatile than SPDR Portfolio Interm Term Corp Bd ETF. 1% of all equities and portfolios are less risky than SPDR Portfolio. Compared to the overall equity markets, volatility of historical daily returns of SPDR Portfolio Interm Term Corp Bd ETF is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use SPDR Portfolio Interm Term Corp Bd ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of SPDR Portfolio to be traded at $34.65 in 30 days. As returns on market increase, SPDR Portfolio returns are expected to increase less than the market. However during bear market, the loss on holding SPDR Portfolio will be expected to be smaller as well.

SPDR Portfolio correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Interm Term Cor and equity matching DJI index in the same portfolio.

SPDR Portfolio Volatility Indicators

SPDR Portfolio Interm Term Corp Bd ETF Current Risk Indicators

Also please take a look at World Market Map. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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