SPDR DoubleLine Risk Analysis And Volatility Evaluation

STOT -- USA Etf  

USD 48.73  0.08  0.17%

Macroaxis considers SPDR DoubleLine to be not too risky. SPDR DoubleLine Shrt owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0338 which indicates SPDR DoubleLine Shrt had -0.0338% 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 DoubleLine Shrt Term TR Tact 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 DoubleLine Risk Adjusted Performance of 0.041155 and Coefficient Of Variation of 1,460 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SPDR DoubleLine Market Sensitivity

As returns on market increase, SPDR DoubleLine returns are expected to increase less than the market. However during bear market, the loss on holding SPDR DoubleLine will be expected to be smaller as well.
One Month Beta |Analyze SPDR DoubleLine Shrt Demand Trend
Check current 30 days SPDR DoubleLine correlation with market (DOW)
β = 0.0764
SPDR DoubleLine Small BetaSPDR DoubleLine Shrt Beta Legend

SPDR DoubleLine Shrt Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. SPDR DoubleLine Shrt 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.

SPDR DoubleLine Projected Return Density Against Market

Given the investment horizon of 30 days, SPDR DoubleLine has beta of 0.0764 . This entails as returns on market go up, SPDR DoubleLine average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SPDR DoubleLine Shrt Term TR Tact ETF will be expected to be much smaller as well. Additionally, SPDR DoubleLine Shrt Term TR Tact 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 
Given the investment horizon of 30 days, the coefficient of variation of SPDR DoubleLine is -2960.32. The daily returns are destributed with a variance of 0.05 and standard deviation of 0.22. The mean deviation of SPDR DoubleLine Shrt Term TR Tact ETF is currently at 0.18. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.04
β
Beta against DOW=0.08
σ
Overall volatility
=0.22
Ir
Information ratio =0.84

SPDR DoubleLine Return Volatility

SPDR DoubleLine Shrt Term TR Tact ETF inherits 0.2239% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SPDR DoubleLine Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

SPDR DoubleLine Investment Opportunity

DOW has a standard deviation of returns of 0.42 and is 1.91 times more volatile than SPDR DoubleLine Shrt Term TR Tact ETF. 2% of all equities and portfolios are less risky than SPDR DoubleLine. Compared to the overall equity markets, volatility of historical daily returns of SPDR DoubleLine Shrt Term TR Tact ETF is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use SPDR DoubleLine Shrt Term TR Tact ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of SPDR DoubleLine to be traded at $51.17 in 30 days. As returns on market increase, SPDR DoubleLine returns are expected to increase less than the market. However during bear market, the loss on holding SPDR DoubleLine will be expected to be smaller as well.

SPDR DoubleLine correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPDR DoubleLine Shrt Term TR T and equity matching DJI index in the same portfolio.

SPDR DoubleLine Volatility Indicators

SPDR DoubleLine Shrt Term TR Tact ETF Current Risk Indicators

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