We consider SPDR SP not too risky. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3604 which indicates SPDR SP 500 had 0.3604% 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 500 ETF which you can use to evaluate future volatility of the etf. Please validate SPDR SP Risk Adjusted Performance of 0.1089 and Coefficient Of Variation of 208.84 to confirm if risk estimate we provide are consistent with the epected return of 0.0835%.
|Investment Horizon||30 Days Login to change|
SPDR SP Market Sensitivity
|As returns on market increase, returns on owning SPDR SP are expected to decrease at a much smaller rate. During bear market, SPDR SP is likely to outperform the market.One Month Beta |Analyze SPDR SP 500 Demand TrendCheck current 30 days SPDR SP correlation with market (DOW)|
β = -0.0035
Projected Return Density Against MarketConsidering 30-days investment horizon, SPDR SP 500 ETF has beta of -0.0035 . This entails as returns on benchmark increase, returns on holding SPDR SP are expected to decrease at a much smaller rate. During bear market, however, SPDR SP 500 ETF is likely to outperform the market. Moreover, SPDR SP 500 ETF has an alpha of 0.0937 implying that it can potentially generate 0.0937% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is 277.45. The daily returns are destributed with a variance of 0.05 and standard deviation of 0.23. The mean deviation of SPDR SP 500 ETF is currently at 0.17. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23