We consider SPDR SP not too risky. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3615 which indicates SPDR SP 500 had 0.3615% 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 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 0.1781 and Standard Deviation of 0.4166 to confirm if risk estimate we provide are consistent with the epected return of 0.1542%.
|Investment 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 TrendCheck current 30 days SPDR SP correlation with market (DOW)|
β = 0.7718
SPDR SP 500 Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, SPDR SP has beta of 0.7718 . 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. Additionally, SPDR SP 500 ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is 276.59. The daily returns are destributed with a variance of 0.18 and standard deviation of 0.43. The mean deviation of SPDR SP 500 ETF is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49