SPDR Portfolio Etf Volatility

SPHY -  USA Etf  

USD 26.59  0.03  0.11%

SPDR Portfolio High owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0682, which indicates the etf had -0.0682% of return per unit of volatility over the last 3 months. Macroaxis approach towards measuring the risk of any etf is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. SPDR Portfolio High exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SPDR Portfolio risk adjusted performance of (0.07), and Coefficient Of Variation of (1,497) to confirm the risk estimate we provide.

SPDR Portfolio Volatility 

 
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SPDR Portfolio Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of SPDR Portfolio daily returns, and it is calculated using variance and standard deviation. We also use SPDR Portfolio's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SPDR Portfolio volatility.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Barely shadows the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as SPDR Portfolio can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of SPDR Portfolio at lower prices. For example, an investor can purchase SPDR Portfolio stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of SPDR Portfolio's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

SPDR Portfolio Market Sensitivity And Downside Risk

SPDR Portfolio's beta coefficient measures the volatility of SPDR Portfolio etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents SPDR Portfolio etf's returns against your selected market. In other words, SPDR Portfolio's beta of 0.19 provides an investor with an approximation of how much risk SPDR Portfolio etf can potentially add to one of your existing portfolios.
Let's try to break down what SPDR Portfolio's beta means in this case. As returns on the market increase, SPDR Portfolio returns are expected to increase less than the market. However, during the bear market, the loss on holding SPDR Portfolio will be expected to be smaller as well.
3 Months Beta |Analyze SPDR Portfolio High Demand Trend
Check current 90 days SPDR Portfolio correlation with market (DOW)

SPDR Portfolio Beta

    
  0.19  
SPDR Portfolio standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.21  
It is essential to understand the difference between upside risk (as represented by SPDR Portfolio's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of SPDR Portfolio stock's daily returns or price. Since the actual investment returns on holding a position in SPDR Portfolio stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in SPDR Portfolio.

SPDR Portfolio Implied Volatility

    
  8.29  
SPDR Portfolio's implied volatility exposes the market's sentiment of SPDR Portfolio High stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if SPDR Portfolio's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that SPDR Portfolio stock will not fluctuate a lot when SPDR Portfolio's options near their expiration.

SPDR Portfolio High Etf Volatility Analysis

Volatility refers to the frequency at which SPDR Portfolio stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with SPDR Portfolio's price changes. Investors will then calculate the volatility of SPDR Portfolio's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of SPDR Portfolio's volatility:

Historical Volatility

This type of stock volatility measures SPDR Portfolio's fluctuations based on previous trends. It's commonly used to predict SPDR Portfolio's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for SPDR Portfolio's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. SPDR Portfolio High 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 Portfolio Projected Return Density Against Market

Given the investment horizon of 90 days SPDR Portfolio has a beta of 0.1915 . This usually implies as returns on the market go up, SPDR Portfolio average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding SPDR Portfolio High will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to SPDR Portfolio or SPDR State Street Global Advisors sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that SPDR Portfolio stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a SPDR Portfolio stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. SPDR Portfolio High is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
SPDR Portfolio's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how SPDR Portfolio stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

SPDR Portfolio Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to SPDR Portfolio or SPDR State Street Global Advisors sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that SPDR Portfolio stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a SPDR Portfolio stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Given the investment horizon of 90 days the coefficient of variation of SPDR Portfolio is -1466.04. The daily returns are distributed with a variance of 0.04 and standard deviation of 0.21. The mean deviation of SPDR Portfolio High is currently at 0.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
-0.03
β
Beta against DOW0.19
σ
Overall volatility
0.21
Ir
Information ratio -0.25

SPDR Portfolio Etf Return Volatility

SPDR Portfolio historical daily return volatility represents how much SPDR Portfolio stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF inherits 0.208% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7076% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About SPDR Portfolio Volatility

Volatility is a rate at which the price of SPDR Portfolio or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of SPDR Portfolio may increase or decrease. In other words, similar to SPDR Portfolio's beta indicator, it measures the risk of SPDR Portfolio and helps estimate the fluctuations that may happen in a short period of time. So if prices of SPDR Portfolio fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of ICE BofA US High Yield Index. SPDR Portfolio is traded on NYSEArca Exchange in the United States.

Nearest SPDR Portfolio long CALL Option Payoff at Expiration

SPDR Portfolio's implied volatility is one of the determining factors in the pricing options written on SPDR Portfolio High. Implied volatility approximates the future value of SPDR Portfoliousing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in SPDR Portfolio High over a specific time period.
View All SPDR Portfolio options
2021-11-19 CALL at $19.0 is a CALL option contract on SPDR Portfolio's common stock with a strick price of 19.0 expiring on 2021-11-19. The contract was not traded in recent days and, as of today, has 25 days remaining before the expiration. The option is currently trading at a bid price of $6.8, and an ask price of $8.5. The implied volatility as of the 24th of October is 76.341.
 Profit 
Share
      SPDR Portfolio Price At Expiration 

SPDR Portfolio Investment Opportunity

DOW has a standard deviation of returns of 0.71 and is 3.38 times more volatile than SPDR Portfolio High. of all equities and portfolios are less risky than SPDR Portfolio. Compared to the overall equity markets, volatility of historical daily returns of SPDR Portfolio High is lower than 1 () of all global equities and portfolios over the last 90 days. Use SPDR Portfolio High to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of SPDR Portfolio to be traded at $26.32 in 90 days. . Let's try to break down what SPDR Portfolio's beta means in this case. As returns on the market increase, SPDR Portfolio returns are expected to increase less than the market. However, during the bear market, the loss on holding SPDR Portfolio will be expected to be smaller as well.

Poor diversification

The correlation between SPDR Portfolio High and DJI is Poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio High and DJI in the same portfolio assuming nothing else is changed.

SPDR Portfolio Additional Risk Indicators

The analysis of SPDR Portfolio's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in SPDR Portfolio's investment and either accepting that risk or mitigating it. Along with some common measures of SPDR Portfolio stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.07)
Market Risk Adjusted Performance(0.12)
Mean Deviation0.1666
Coefficient Of Variation(1,497)
Standard Deviation0.209
Variance0.0437
Information Ratio(0.25)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

SPDR Portfolio Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against SPDR Portfolio as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. SPDR Portfolio's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, SPDR Portfolio's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to SPDR Portfolio High.
Additionally, take a look at World Market Map. Note that the SPDR Portfolio High information on this page should be used as a complementary analysis to other SPDR Portfolio's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.

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When running SPDR Portfolio High price analysis, check to measure SPDR Portfolio's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy SPDR Portfolio is operating at the current time. Most of SPDR Portfolio's value examination focuses on studying past and present price action to predict the probability of SPDR Portfolio's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move SPDR Portfolio's price. Additionally, you may evaluate how the addition of SPDR Portfolio to your portfolios can decrease your overall portfolio volatility.
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The market value of SPDR Portfolio High is measured differently than its book value, which is the value of SPDR Portfolio that is recorded on the company's balance sheet. Investors also form their own opinion of SPDR Portfolio's value that differs from its market value or its book value, called intrinsic value, which is SPDR Portfolio's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because SPDR Portfolio's market value can be influenced by many factors that don't directly affect SPDR Portfolio's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between SPDR Portfolio's value and its price as these two are different measures arrived at by different means. Investors typically determine SPDR Portfolio value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, SPDR Portfolio's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.