SPDR SP Risk Analysis

SPDR SP 500 ETF -- USA Etf  

USD 274.71  4.31  1.59%

Macroaxis considers SPDR SP to be not too risky. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1166 which indicates SPDR SP 500 had -0.1166% of return per unit of volatility over the last 1 month. Macroaxis approach towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. SPDR SP 500 ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SPDR SP Risk Adjusted Performance of 0.14 and Coefficient Of Variation of 1,279 to confirm risk estimate we provide.
 Time 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 = -0.3052
SPDR SP Almost negative 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.

Projected Return Density Against Market

Considering 30-days investment horizon, SPDR SP 500 ETF has beta of -0.3052 . 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. 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
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of SPDR SP is -857.89. The daily returns are destributed with a variance of 2.62 and standard deviation of 1.62. The mean deviation of SPDR SP 500 ETF is currently at 1.14. For similar time horizon, the selected benchmark (DOW) has volatility of 1.78
α
Alpha over DOW
=0.2
β
Beta against DOW=0.31
σ
Overall volatility
=1.62
Ir
Information ratio =0.0546

Actual Return Volatility

SPDR SP 500 ETF has volatility of 1.618% on return distribution over 30 days investment horizon. DOW inherits 1.7317% 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

Almost neglects market

Largest Trends

SPDR SP Largest Period Trend
 268.01 
  
 257.63 
10.38  3.87%
Lowest period price (30 days)
 281.07 
  
 281.58 
0.51  0.18%
Highest period price (30 days)

Investment Outlook

SPDR SP Investment Opportunity
DOW has a standard deviation of returns of 1.73 and is 1.07 times more volatile than SPDR SP 500 ETF. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use SPDR SP 500 ETF to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of SPDR SP to be traded at $302.18 in 30 days. 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.

SPDR SP correlation with market

Very good 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.