SPDR SP Risk Analysis And Volatility Evaluation

SPY -- USA Etf  

USD 291.22  2.36  0.80%

We consider SPDR SP not too risky. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2994 which indicates SPDR SP 500 had 0.2994% of return per unit of volatility over the last 1 month. Our approach towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty 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 0.1216 and Standard Deviation of 0.4253 to confirm if risk estimate we provide are consistent with the epected return of 0.129%.
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 500 Demand Trend
Check current 30 days SPDR SP correlation with market (DOW)
β = 0.1502
SPDR SP Small BetaSPDR SP 500 Beta Legend

SPDR SP 500 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. SPDR SP 500 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 SP Projected Return Density Against Market

Considering 30-days investment horizon, SPDR SP has beta of 0.1502 . 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 500 ETF will be expected to be much smaller as well. Moreover, SPDR SP 500 ETF has an alpha of 0.0795 implying that it can potentially generate 0.0795% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is 334.05. The daily returns are destributed with a variance of 0.19 and standard deviation of 0.43. The mean deviation of SPDR SP 500 ETF is currently at 0.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.08
β
Beta against DOW=0.15
σ
Overall volatility
=0.43
Ir
Information ratio =0.14

SPDR SP Return Volatility

SPDR SP 500 ETF has volatility of 0.431% on return distribution over 30 days investment horizon. DOW inherits 0.444% 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

Barely shadows market

Investment Outlook

SPDR SP Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 1.02 times more volatile than SPDR SP 500 ETF. 3% 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 500 ETF is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use SPDR SP 500 ETF to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of SPDR SP to be traded at $285.4 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

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 ETF and equity matching DJI index in the same portfolio.

SPDR SP Volatility Indicators

SPDR SP 500 ETF Current Risk Indicators

Also please take a look at World Market Map. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
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