Short Duration Risk Analysis

Short Duration TR Tactical ETF SPDR -- USA Etf  

USD 49.34  0.01  0.0203%

Macroaxis considers Short Duration to be not too risky. Short Duration TR owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1006 which indicates Short Duration TR had -0.1006% of return per unit of risk over the last 1 month. Macroaxis philosophy 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. Short Duration TR Tactical ETF SPDR exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Short Duration Coefficient Of Variation of (2,501) and Risk Adjusted Performance of (0.048167) to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Short Duration Market Sensitivity

As returns on market increase, returns on owning Short Duration are expected to decrease at a much smaller rate. During bear market, Short Duration is likely to outperform the market.
One Month Beta |Analyze Short Duration TR Demand Trend
Check current 30 days Short Duration correlation with market (DOW)
β = -0.0451
Short Duration Almost negative betaShort Duration TR Beta Legend

Short Duration TR Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Short Duration TR 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

Given the investment horizon of 30 days, Short Duration TR Tactical ETF SPDR has beta of -0.0451 . This entails as returns on benchmark increase, returns on holding Short Duration are expected to decrease at a much smaller rate. During bear market, however, Short Duration TR Tactical ETF SPDR is likely to outperform the market. Additionally, Short Duration TR Tactical ETF SPDR 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 
Given the investment horizon of 30 days, the coefficient of variation of Short Duration is -993.65. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.09. The mean deviation of Short Duration TR Tactical ETF SPDR is currently at 0.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0035
β
Beta against DOW=0.05
σ
Overall volatility
=0.0948
Ir
Information ratio =2.63

Actual Return Volatility

Short Duration TR Tactical ETF SPDR inherits 0.0948% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3852% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Short Duration 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

Short Duration Largest Period Trend

Investment Outlook

Short Duration Investment Opportunity
DOW has a standard deviation of returns of 0.39 and is 4.33 times more volatile than Short Duration TR Tactical ETF SPDR. 0% of all equities and portfolios are less risky than Short Duration. Compared to the overall equity markets, volatility of historical daily returns of Short Duration TR Tactical ETF SPDR is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Short Duration TR Tactical ETF SPDR to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of Short Duration to be traded at $48.85 in 30 days. As returns on market increase, returns on owning Short Duration are expected to decrease at a much smaller rate. During bear market, Short Duration is likely to outperform the market.

Short Duration correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Short Duration TR Tactical ETF and equity matching DJI index in the same portfolio.

Volatility Indicators

Short Duration Current Risk Indicators