SPDR SP Risk Analysis And Volatility Evaluation

SPY -- USA Etf  

USD 275.96  0.46  0.17%

We consider SPDR SP not too risky. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.068 which indicates SPDR SP 500 had 0.068% 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 SP 500 ETF which you can use to evaluate future volatility of the etf. Please validate SPDR SP Risk Adjusted Performance of 0.01 and Coefficient Of Variation of 807.45 to confirm if risk estimate we provide are consistent with the epected return of 0.0385%.
 Time Horizon     30 Days    Login   to change

SPDR SP 500 Technical Analysis

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.

Projected Return Density Against Market

Considering 30-days investment horizon, SPDR SP has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and SPDR SP are completely uncorrelated. Furthermore, SPDR SP 500 ETFIt does not look like SPDR SP alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is 1469.78. The daily returns are destributed with a variance of 0.32 and standard deviation of 0.57. The mean deviation of SPDR SP 500 ETF is currently at 0.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.12

Actual Return Volatility

SPDR SP 500 ETF has volatility of 0.5657% on return distribution over 30 days investment horizon. DOW inherits 1.3896% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

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

Market Insensitive

Investment Outlook

SPDR SP Investment Opportunity
DOW has a standard deviation of returns of 1.39 and is 2.44 times more volatile than SPDR SP 500 ETF. 5% 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 5 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

SPDR SP Current Risk Indicators
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.