SPDR MSCI World ETF Volatility
| QWLD ETF | USD 151.07 0.23 0.15% |
Sharpe Ratio = 0.0134
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SPDR MSCI World posted a Market Risk Adjusted Performance of 0.03%, a Risk of 0.79, and a Risk Adjusted Performance of 0.03% for the reported period. Based on monthly moving averages, the ETF is operating near 1% of its historical performance range.
Key indicators related to SPDR MSCI's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for SPDR MSCI (3 Months):
Beta 0.77 | Alpha 0.02 | Risk 0.79 | Sharpe Ratio 0.01 | Expected Return 0.01 |
Assets With Similar Volatility
| 0.91 | VT | Vanguard Total World | PairCorr |
| 0.91 | ACWI | iShares MSCI ACWI | PairCorr |
| 0.77 | ACWV | iShares MSCI Global | PairCorr |
| 0.82 | IOO | iShares Global 100 | PairCorr |
| 0.91 | URTH | iShares MSCI World | PairCorr |
| 0.92 | CRBN | iShares MSCI ACWI | PairCorr |
| 0.79 | GLOV | Goldman Sachs ActiveBeta Symbol Change | PairCorr |
| 0.9 | KOKU | Xtrackers MSCI Kokusai | PairCorr |
| 0.9 | SPGM | SPDR Portfolio MSCI | PairCorr |
| 0.82 | ULE | ProShares Ultra Euro | PairCorr |
| 0.76 | ITWO | ProShares Russell 2000 | PairCorr |
| 0.62 | RDYY | Tidal Trust II | PairCorr |
| 0.64 | CAT | Caterpillar | PairCorr |
| 0.7 | AXP | American Express | PairCorr |
Sensitivity To Market
The beta coefficient of 0.77 for SPDR MSCI World measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.79%. This analysis separates observed movement from interpretation for SPDR MSCI World. Standard deviation (0.81%) and downside deviation (0.78%) describe the range without implying direction. 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 MSCI World Demand TrendCurrent 90-day SPDR MSCI correlation with market (Dow Jones Industrial)Downside Risk
SPDR MSCI standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for SPDR MSCI over successive periods signals increasing price uncertainty. SPDR MSCI standard deviation compared across rolling windows highlights periods of elevated or subdued price risk. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for SPDR MSCI.
Standard Deviation | 0.79 |
Upside risk in SPDR MSCI is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in SPDR MSCI's returns. Total return dispersion for SPDR MSCI encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in SPDR MSCI is not the same as damaging volatility. SPDR MSCI World posted a Downside Deviation of 0.78, a Downside Variance of 0.61, and a Maximum Drawdown of 3.29 for the reported period.
ETF Volatility Analysis
SPDR MSCI ETF volatility is a key input for most investment risk models. When SPDR MSCI's volatility is elevated, prices swing by several percentage points in a single session. Understanding SPDR MSCI volatility quantifies the risk of holding SPDR MSCI's ETF. These price changes indicate the level of risk and return variability associated with SPDR MSCI's.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of SPDR MSCI World'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
Given a 90-day horizon, SPDR MSCI has a beta of 0.7669 indicating as returns on the market go up, SPDR MSCI's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding SPDR MSCI World tends to be smaller as well.SPDR MSCI combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. SPDR MSCI World posted a Downside Deviation of 0.78, a Mean Deviation of 0.62, and a Semi Deviation of 0.75 for the reported period.
Predicted Return Distribution |
| Density |
What Drives SPDR MSCI's Price Volatility?
Holdings and Allocation
Exposure changes, asset reallocation, or index methodology updates in the Global Large-Stock Blend category can alter SPDR MSCI's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for SPDR MSCI.SPDR MSCI's Fund-Specific Factors
Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in SPDR MSCI's price.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of SPDR MSCI is 7482.78. The daily returns are distributed with a variance of 0.62 and standard deviation of 0.79. The mean deviation of SPDR MSCI World is currently at 0.6. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 0.77 | |
σ | Overall volatility | 0.79 | |
Ir | Information ratio | 0.02 |
ETF Return Volatility
Volatility for SPDR MSCI quantifies the day-to-day dispersion of ETF returns around their historical average. The fund carries 0.7862% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9164% 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 MSCI Constituents Risk-Adjusted Indicators
Headline performance for SPDR MSCI ETF may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare SPDR MSCI's efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SELV | 0.46 | -0.05 | 0.00 | -0.16 | 0.00 | 0.81 | 2.87 | |||
| DEUS | 0.65 | 0.04 | 0.05 | 0.05 | 0.74 | 1.46 | 3.45 | |||
| SRHQ | 0.82 | 0.14 | 0.13 | 0.16 | 0.85 | 2.01 | 5.01 | |||
| RAAX | 0.77 | 0.11 | 0.11 | -0.63 | 0.91 | 1.60 | 4.74 | |||
| IJAN | 0.55 | 0.01 | 0.02 | 0.02 | 0.71 | 1.20 | 2.92 | |||
| HERO | 1.16 | -0.05 | 0.00 | -0.06 | 0.00 | 1.94 | 5.83 | |||
| WTMF | 0.44 | 0.08 | 0.13 | 0.32 | 0.45 | 0.94 | 2.63 | |||
| ULVM | 0.62 | 0.08 | 0.10 | 0.10 | 0.71 | 1.43 | 3.88 | |||
| BKCI | 0.95 | 0.01 | 0.01 | 0.01 | 1.13 | 2.10 | 4.80 | |||
| IDRV | 1.36 | 0.26 | 0.13 | 0.17 | 1.62 | 3.78 | 9.65 |
Risk Metrics, Assumptions & Methodology
Drawdown analysis for SPDR MSCI measures the largest peak-to-trough declines and their duration within the fund's price history. Drawdown frequency and clustering help distinguish episodic stress from persistent volatility regimes.
SPDR MSCI World values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that SPDR MSCI World is less volatile than Dow Jones Industrial by approximately 1.16x 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 7% 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 MSCI World with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View SPDR MSCI probability analysis.
Minimal diversification benefit
Across the chosen horizon, SPDR MSCI and Dow Jones show a correlation of 0.96 and fall into the Minimal diversification benefit bucket. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Risk analysis around SPDR MSCI World gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.0305 | |||
| Market Risk Adjusted Performance | 0.0324 | |||
| Mean Deviation | 0.6182 | |||
| Semi Deviation | 0.7499 | |||
| Downside Deviation | 0.7807 | |||
| Coefficient Of Variation | 2966.02 | |||
| Standard Deviation | 0.8052 |
SPDR MSCI Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between SPDR MSCI World and comparable securities. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. SPDR MSCI's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing SPDR MSCI's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
More Resources for SPDR MSCI ETF Analysis
Comparing SPDR MSCI's market price with NAV reveals how trading dynamics relate to underlying asset values. These complementary measures help build a more complete analytical foundation.
SPDR MSCI market price and NAV can differ because they are formed through different mechanisms. Assessment often reviews fund costs, underlying exposure, category peers, and benchmark tracking precision.