SPDR Portfolio Risk Analysis And Volatility Evaluation

SPIB -- USA Etf  

USD 33.31  0.02  0.06%

We consider SPDR Portfolio not too risky. SPDR Portfolio Interm owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1668 which indicates SPDR Portfolio Interm had 0.1668% 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-eight technical indicators for SPDR Portfolio Interm Term Corp Bd ETF which you can use to evaluate future volatility of the etf. Please validate SPDR Portfolio Risk Adjusted Performance of 0.0325 and Coefficient Of Variation of 903.75 to confirm if risk estimate we provide are consistent with the epected return of 0.022%.
 Time Horizon     30 Days    Login   to change

SPDR Portfolio Market Sensitivity

As returns on market increase, returns on owning SPDR Portfolio are expected to decrease at a much smaller rate. During bear market, SPDR Portfolio is likely to outperform the market.
One Month Beta |Analyze SPDR Portfolio Interm Demand Trend
Check current 30 days SPDR Portfolio correlation with market (DOW)
β = -0.0143
SPDR Portfolio Almost negative 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, SPDR Portfolio Interm Term Corp Bd ETF has beta of -0.0143 . This entails as returns on benchmark increase, returns on holding SPDR Portfolio are expected to decrease at a much smaller rate. During bear market, however, SPDR Portfolio Interm Term Corp Bd ETF is likely to outperform the market. Moreover, SPDR Portfolio Interm Term Corp Bd ETF has an alpha of 0.0072 implying that it can potentially generate 0.0072% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of SPDR Portfolio is 599.47. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of SPDR Portfolio Interm Term Corp Bd ETF is currently at 0.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.0072
β
Beta against DOW=0.01
σ
Overall volatility
=0.13
Ir
Information ratio =1.05

Actual Return Volatility

SPDR Portfolio Interm Term Corp Bd ETF inherits 0.1316% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5977% 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

Indifferent to market move

Investment Outlook

SPDR Portfolio Investment Opportunity
DOW has a standard deviation of returns of 0.6 and is 4.62 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 protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of SPDR Portfolio to be traded at $32.98 in 30 days. As returns on market increase, returns on owning SPDR Portfolio are expected to decrease at a much smaller rate. During bear market, SPDR Portfolio is likely to outperform the market.

SPDR Portfolio correlation with market

Good 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.
Also please take a look at World Market Map. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">