Our approach towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty technical indicators for BNY Mellon SP 500 Idx Tracker A USD which you can use to evaluate future volatility of the entity. Please confirm BNY Mellon SP Risk Adjusted Performance of 0.1523 and Mean Deviation of 0.351 to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
60 Days Market Risk
Chance of Distress in 24 months
60 Days Economic Sensitivity
Moves indifferently to market moves
|Horizon||30 Days Login to change|
BNY Mellon Market Sensitivity
|As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market. 2 Months Beta |Analyze BNY Mellon SP Demand TrendCheck current 30 days BNY Mellon correlation with market (DOW)|
β = -0.0922
BNY Mellon Central Daily Price Deviation
BNY Mellon SP Technical Analysis
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BNY Mellon Projected Return Density Against MarketAssuming 30 trading days horizon, BNY Mellon SP 500 Idx Tracker A USD has beta of -0.0922 . This indicates as returns on benchmark increase, returns on holding BNY Mellon are expected to decrease at a much smaller rate. During bear market, however, BNY Mellon SP 500 Idx Tracker A USD is likely to outperform the market. Moreover, The company has an alpha of 0.1373 implying that it can potentially generate 0.1373% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of BNY Mellon is 0.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.0. The mean deviation of BNY Mellon SP 500 Idx Tracker A USD is currently at 0.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.65
|Alpha over DOW||=||0.14|
|Beta against DOW||=||0.09|
BNY Mellon Return Volatilitythe fund accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 0.6506% risk (volatility on return distribution) over the 30 days horizon.
BNY Mellon Investment Opportunity
DOW has a standard deviation of returns of 0.65 and is 9.223372036854776E16 times more volatile than BNY Mellon SP 500 Idx Tracker A USD. 0% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon SP 500 Idx Tracker A USD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon SP 500 Idx Tracker A USD to protect your portfolios against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of BNY Mellon to be traded at $2.57 in 30 days. . As returns on market increase, returns on owning BNY Mellon are expected to decrease at a much smaller rate. During bear market, BNY Mellon is likely to outperform the market.
BNY Mellon correlation with market
BNY Mellon Current Risk Indicators
|Risk Adjusted Performance||0.1523|
|Market Risk Adjusted Performance||(1.36)|
|Coefficient Of Variation||421.36|
BNY Mellon Suggested Diversification Pairs