SPDR SP Risk Analysis

SPDR SP 500 ETF -- USA Etf  

USD 255.79  0.07  0.03%

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 Trend
Check current 30 days SPDR SP correlation with market (DOW)
β = -0.0035
SPDR SP Almost negative betaSPDR SP 500 Beta Legend

Projected Return Density Against Market

Considering 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.0937 
βBeta against DOW=(0.0035) 
σ
Overall volatility
= 0.23 
 IrInformation ratio =(0.14) 

Actual Return Volatility

SPDR SP 500 ETF has volatility of 0.2317% on return distribution over 30 days investment horizon. DOW inherits 0.2303% 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

Indifferent to market move

Largest Trends

SPDR SP Largest Period Trend
 249.88 
  
 250.05 
0.17  0.068033%
Lowest period price (30 days)
 254.83 
  
 255.79 
0.96  0.38%
Highest period price (30 days)

Investment Outlook

SPDR SP Investment Opportunity
SPDR SP 500 ETF has the same returns volatility as DOW considering given time horizon. 2% 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 2 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

SPDR SP Current Risk Indicators