SPDR Bloomberg International ETF Volatility
| BWX ETF | USD 22.39 0.08 0.36% |
Sharpe Ratio = -0.0346
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SPDR Bloomberg International (BWX) recorded a Market Risk Adjusted Performance of 0.8%, a Risk of 0.60, and a Risk Adjusted Performance of -0.03%. Moving average data indicates the ETF is not operating at maximum efficiency.
Key indicators related to SPDR Bloomberg's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for SPDR Bloomberg (3 Months):
Beta -0.03 | Alpha -0.03 | Risk 0.6 | Sharpe Ratio -0.03 | Expected Return -0.02 |
Assets With Similar Volatility
| 0.93 | IGOV | iShares International Treasury | PairCorr |
| 0.66 | WIP | SPDR FTSE International | PairCorr |
| 0.95 | BWZ | SPDR Bloomberg Short | PairCorr |
| 0.97 | PICB | Invesco International Corporate | PairCorr |
| 0.81 | GRNB | VanEck Green Bond | PairCorr |
| 0.89 | SPSK | SP Funds Dow | PairCorr |
| 0.9 | ISHG | iShares 1 3 Year | PairCorr |
| 0.83 | ULE | ProShares Ultra Euro | PairCorr |
| 0.7 | MDBX | Tradr 2X Long | PairCorr |
| 0.82 | BA | The Boeing | PairCorr |
| 0.62 | KO | The Coca Cola Sell-off Trend | PairCorr |
| 0.73 | AXP | American Express | PairCorr |
| 0.77 | GE | GE Aerospace | PairCorr |
Sensitivity To Market
SPDR Bloomberg International beta of -0.0345 quantifies how much of its total volatility (0.6%) is attributable to market-wide factors versus idiosyncratic drivers. SPDR Bloomberg International return dispersion over the lookback window shows standard deviation near 0.59% and semi-deviation near 0.0%, providing a baseline for comparison across peer instruments. Options markets imply a forward-looking volatility estimate near 35.0%. This reflects comparatively contained forward-looking volatility expectations. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |SPDR Bloomberg Demand TrendCurrent 90-day SPDR Bloomberg correlation with market (Dow Jones Industrial)Downside Risk
SPDR Bloomberg daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. This measure counts all price dispersion as risk for SPDR Bloomberg, including returns above the mean.
Standard Deviation | 0.6 |
The difference between upside risk and downside risk is meaningful for SPDR Bloomberg analysis. Semi-deviation and downside deviation isolate negative return dispersion, providing additional context on loss-specific risk relative to total volatility for SPDR Bloomberg. Downside deviation isolates the true loss risk in SPDR Bloomberg's daily returns from positive price moves. SPDR Bloomberg International (BWX) recorded a Maximum Drawdown of 2.40.
SPDR Bloomberg Put Option Risk Profile Based on 2026-07-17 Contracts
SPDR Bloomberg International (BWX) recorded an Option Implied Volatility of 0.35. Put options on SPDR Bloomberg offset potential price declines in SPDR Bloomberg ETF. The put buyer has a limited loss equal to the premium paid for the right to sell SPDR Bloomberg ETF at the strike. A put holder on SPDR Bloomberg ETF has the right to sell SPDR Bloomberg at the strike price regardless of how far the stock drops.
SPDR Bloomberg's PUT expiring on 2026-07-17
Profit |
| SPDR Bloomberg Price At Expiration |
Current SPDR Bloomberg Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | BWX260717P00018000 | -0.135352 | 0.04394 | 1 | 2026-07-17 | 0.0 - 0.75 | 0.0 | View |
| Put | BWX260717P00021000 | -0.251667 | 0.135244 | 13 | 2026-07-17 | 0.0 - 0.75 | 0.0 | View |
| Put | BWX260717P00023000 | -0.541615 | 0.120666 | 1 | 2026-07-17 | 0.1 - 3.2 | 0.0 | View |
ETF Volatility Analysis
When measuring the risk of SPDR Bloomberg ETF, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with SPDR Bloomberg's price changes. SPDR Bloomberg ETF price fluctuates significantly over short periods, a phenomenon measured by volatility.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of SPDR Bloomberg's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over a 90-day investment horizon, SPDR Bloomberg International has a beta of -0.0345 suggesting that as returns on the benchmark increase, returns on SPDR Bloomberg tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, SPDR Bloomberg International tends to outperform the market.SPDR Bloomberg reflects a blend of market-wide risk and company or sector-specific developments. Historical volatility and beta quantify how it responds to broader cycles. SPDR Bloomberg International (BWX) recorded a Mean Deviation of 0.45, an Option Implied Volatility of 0.35, and a Standard Deviation of 0.59.
Predicted Return Distribution |
| Density |
What Drives SPDR Bloomberg's Price Volatility?
Holdings and Allocation
Shifts in underlying asset weights and category-level catalysts in the Global Bond category often set the baseline volatility regime for SPDR Bloomberg.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.SPDR Bloomberg's Fund-Specific Factors
NAV premium shifts, flow-driven supply-demand imbalance, and rebalancing events can shift near-term return dispersion for SPDR Bloomberg's.ETF Risk Measures
Over a 90-day investment horizon, the coefficient of variation of SPDR Bloomberg is -2894.11. The daily returns are distributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of SPDR Bloomberg International is currently at 0.46. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0259 | |
β | Beta against Dow Jones | -0.0345 | |
σ | Overall volatility | 0.60 | |
Ir | Information ratio | -0.04 |
ETF Return Volatility
SPDR Bloomberg daily volatility tracks how widely ETF returns have moved around the mean across the selected time frame. The ETF reflects 0.6006% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9237% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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SPDR Bloomberg Constituents Risk-Adjusted Indicators
Return momentum in SPDR Bloomberg ETF is more useful when tested against peer-relative fundamentals and risk. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| USTB | 0.07 | 0.00 | 0.02 | -0.05 | 0.00 | 0.14 | 0.42 | |||
| UBND | 0.18 | 0.00 | -0.01 | -0.16 | 0.22 | 0.37 | 1.20 | |||
| IGEB | 0.24 | 0.00 | 0.00 | 0.15 | 0.33 | 0.49 | 1.50 | |||
| CORP | 0.24 | -0.01 | -0.02 | -0.35 | 0.33 | 0.44 | 1.39 | |||
| SCHY | 0.78 | 0.00 | 0.00 | -0.01 | 1.17 | 1.65 | 4.43 | |||
| IGOV | 0.46 | -0.01 | -0.01 | 0.09 | 0.62 | 1.10 | 2.40 | |||
| TAGG | 0.21 | 0.00 | 0.00 | 0.09 | 0.28 | 0.47 | 1.36 | |||
| EWP | 1.29 | 0.02 | 0.01 | -0.06 | 1.65 | 2.83 | 7.56 | |||
| BNDW | 0.22 | -0.01 | -0.02 | -0.38 | 0.28 | 0.42 | 1.18 | |||
| XNTK | 1.37 | 0.27 | 0.16 | -15.49 | 1.53 | 3.12 | 6.70 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for SPDR Bloomberg identifies whether the fund is currently in a high, low, or transitioning dispersion state. Identifying the current regime helps calibrate whether historical risk metrics are still representative.
SPDR Bloomberg International data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Vlad Skutelnik, Macroaxis Contributor
Volatility Profile Summary
Recent data suggests that SPDR Bloomberg International is less volatile than Dow Jones Industrial by approximately 1.53x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 5% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.SPDR Bloomberg International with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View SPDR Bloomberg probability analysis.
Poor diversification
The correlation between SPDR Bloomberg and Dow Jones is 0.71, which Macroaxis classifies as Poor diversification for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Secondary risk indicators for SPDR Bloomberg International evaluate exposure beyond standard deviation, beta, or one headline volatility measure. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | -0.03 | |||
| Market Risk Adjusted Performance | 0.7586 | |||
| Mean Deviation | 0.4476 | |||
| Coefficient Of Variation | -3,744 | |||
| Standard Deviation | 0.5926 | |||
| Variance | 0.3511 | |||
| Information Ratio | -0.04 |
SPDR Bloomberg Suggested Diversification Pairs
A pair-trading setup around SPDR Bloomberg shifts the return benchmark from the broad market to a second position, altering the risk profile. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for SPDR Bloomberg persists even in a well-constructed pair. The benefit is in offsetting SPDR Bloomberg's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of SPDR Bloomberg International.