SPDR SAMPP 600 ETF Volatility

SLYG ETF

USD 108.70 -1.13 -1.03%

SPDR SAMPP's price history translates into the risk numbers analysts use to compare it with safer or riskier names. Its long-term beta is 1.17, meaning it tends to be slightly more volatile than the broader market. The ETF shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0884

Expected Return ↓

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Elevated

High

Leading

Strong

Moderate

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Ideal

SLYG

Worst

← Lower RiskHigher Risk →

For SPDR SAMPP 600, recent data highlights a Market Risk Adjusted Performance of 0.1%, a Risk of 1.23, and a Risk Adjusted Performance of 0.1%. Based on monthly moving averages, the ETF is operating near 7% of its historical performance range.

Key indicators related to SPDR SAMPP's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Low

90 Days Economic Sensitivity

Almost mirrors the market

Key risk metrics for SPDR SAMPP (3 Months):

Beta

1.18

Alpha

0.13

Risk

1.23

Sharpe Ratio

0.09

Expected Return

0.11

Moving together with SPDR SAMPP ETF

0.97	VBK	Vanguard Small Cap	Pair Corr
0.98	IWO	iShares Russell 2000	Pair Corr
1.0	IJT	iShares SAMPP Small	Pair Corr
0.9	PBW	Invesco WilderHill Clean	Pair Corr
0.9	JKK	iShares Morningstar	Pair Corr
0.98	VTWG	Vanguard Russell 2000	Pair Corr
0.98	VRTGX	Vanguard Russell 2000	Pair Corr
1.0	VIOG	Vanguard SAMPP Small	Pair Corr
0.97	ISCG	iShares Morningstar	Pair Corr
0.96	VTI	Vanguard Total Stock	Pair Corr
0.96	SPY	SPDR SAMPP 500	Pair Corr
0.96	IVV	iShares Core SAMPP	Pair Corr
0.84	VTV	Vanguard Value Index	Pair Corr
0.92	VUG	Vanguard Growth Index	Pair Corr
0.95	VO	Vanguard Mid Cap	Pair Corr
0.83	VEA	Vanguard FTSE Developed	Pair Corr
0.98	VB	Vanguard Small Cap	Pair Corr
0.91	VWO	Vanguard FTSE Emerging	Pair Corr
0.82	INTC	Intel Aggressive Push	Pair Corr
0.75	BAC	Bank of America	Pair Corr
0.67	MSFT	Microsoft	Pair Corr
0.93	CAT	Caterpillar	Pair Corr

Sensitivity To Market

SPDR SAMPP beta coefficient measures the volatility of SPDR SAMPP ETF relative to the systematic risk of the broad market benchmark. A beta of 1.18 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 1.23%. SPDR SAMPP 600 has shown noticeable price swings over the selected period. Downside deviation is about 1.2% and standard deviation is about 1.26%, which summarize how widely returns have moved. Options markets imply a forward-looking volatility estimate near 34.0%. This reflects comparatively contained forward-looking volatility expectations. ETF volatility includes tracking difference effects, fees, and trading friction on top of index movement. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.

Current 90-day SPDR SAMPP correlation with market (Dow Jones Industrial)

0.13

1.18

Competition

3 Months Beta |SPDR SAMPP 600 Demand Trend

Current 90-day SPDR SAMPP correlation with market (Dow Jones Industrial)

Downside Risk

Standard deviation measures how far SPDR SAMPP returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.

Standard Deviation

1.23

It is essential to understand the difference between upside risk and downside risk for SPDR SAMPP. Total volatility includes favorable moves, while downside deviation isolates the loss risk in SPDR SAMPP's daily returns. For SPDR SAMPP 600, recent data highlights a Downside Deviation of 1.20, a Downside Variance of 1.43, and a Maximum Drawdown of 5.54.

SPDR SAMPP Put Option Risk Profile Based on 2026-05-15 Contracts

For SPDR SAMPP 600, recent data highlights an Option Implied Volatility of 0.34 and an Option Max Pain Price of -1. Put options written on SPDR SAMPP grant holders the right to sell a specified amount of SPDR SAMPP ETF at a specified price. Put options on SPDR SAMPP ETF are often purchased as a form of portfolio insurance against SPDR SAMPP's declines.

SPDR SAMPP's PUT expiring on 2026-06-18

Profit

SPDR SAMPP Price At Expiration

ETF Volatility Analysis

Volatility refers to the frequency at which SPDR SAMPP ETF price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same ETF.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of SPDR SAMPP 600'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 SAMPP has a beta of 1.177. This usually implies when the benchmark rises, SLYG tends to outperform it on average. However, when benchmark returns turn negative, SPDR SAMPP tends to underperform.

SPDR SAMPP is exposed to both systematic and unsystematic risk. Systematic risk reflects broader ETF market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. For SPDR SAMPP 600, recent data highlights a Downside Deviation of 1.20, a Mean Deviation of 0.95, and an Option Implied Volatility of 0.34.

SPDR SAMPP 600 has an alpha of 0.1266, implying that it can generate a 0.1266 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

SPDR SAMPP's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far SPDR SAMPP's returns usually move from the mean over the selected horizon.

What Drives SPDR SAMPP's Price Volatility?

Holdings and Allocation

Changes in underlying holdings, sector weights, and rebalancing activity within the Small Growth category can influence SPDR SAMPP's price dispersion even when broad indices are stable.

Political and Economic Environment

Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for SPDR SAMPP.

SPDR SAMPP's Fund-Specific Factors

Flows in and out of the fund, tracking error, and premium-to-NAV shifts are common drivers of short-term price movement in SPDR SAMPP's shares.

ETF Risk Measures

Given a 90-day horizon, the coefficient of variation of SPDR SAMPP is 1131.24. The daily returns are distributed with a variance of 1.51 and standard deviation of 1.23. The mean deviation of SPDR SAMPP 600 is currently at 0.94. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97

α	Alpha over Dow Jones	0.13	Details
β	Beta against Dow Jones	1.18	Details
σ	Overall volatility	1.23	Details
Ir	Information ratio	0.10	Details

ETF Return Volatility

SPDR SAMPP historical daily return volatility represents how much of SPDR SAMPP ETF's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund reported 1.2285% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9238% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	MDYV	SLYV	IYH	XME	IFRA	ITB	KRE	MDYG	FNDC	SPHD
MDYV		0.94	0.38	0.82	0.81	0.68	0.93	0.8	0.92	0.46	MDYV
SLYV	0.94		0.06	0.73	0.87	0.42	0.85	0.89	0.84	0.2	SLYV
IYH	0.38	0.06		0.48	0.07	0.85	0.4	-0.01	0.45	0.86	IYH
XME	0.82	0.73	0.48		0.64	0.7	0.82	0.59	0.76	0.58	XME
IFRA	0.81	0.87	0.07	0.64		0.3	0.64	0.9	0.83	0.32	IFRA
ITB	0.68	0.42	0.85	0.7	0.3		0.7	0.23	0.63	0.79	ITB
KRE	0.93	0.85	0.4	0.82	0.64	0.7		0.63	0.83	0.44	KRE
MDYG	0.8	0.89	-0.01	0.59	0.9	0.23	0.63		0.83	0.19	MDYG
FNDC	0.92	0.84	0.45	0.76	0.83	0.63	0.83	0.83		0.54	FNDC
SPHD	0.46	0.2	0.86	0.58	0.32	0.79	0.44	0.19	0.54		SPHD
	MDYV	SLYV	IYH	XME	IFRA	ITB	KRE	MDYG	FNDC	SPHD

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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

SLYV	+ 0.94	MDYV
KRE	+ 0.93	MDYV
FNDC	+ 0.92	MDYV
MDYG	+ 0.9	IFRA
MDYG	+ 0.89	SLYV
IFRA	+ 0.87	SLYV

High negative correlations

MDYG

- 0.01

IYH

SPDR SAMPP Constituents Risk-Adjusted Indicators

Strong recent returns in SPDR SAMPP ETF do not always mean SPDR SAMPP ETF is outperforming peers on business quality. Risk-adjusted metrics help compare SPDR SAMPP'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
MDYV	0.79	0.03	0.03	0.03	0.95	-0.84	2.03	-1.55	4.75
SLYV	0.80	0.08	0.07	0.08	0.99	-0.78	2.02	-1.66	4.94
IYH	0.75	-0.09	0.00	-0.13	0.00	0.00	1.83	-1.52	3.75
XME	1.88	0.09	0.03	-0.29	2.67	-1.65	4.40	-3.91	11.61
IFRA	0.81	0.10	0.10	0.13	0.85	-0.95	1.96	-1.49	4.53
ITB	1.47	-0.18	0.00	-0.13	0.00	0.00	3.51	-2.87	8.96
KRE	1.07	0.02	0.01	-0.16	1.53	-1.13	1.84	-1.90	6.98
MDYG	1.05	0.14	0.11	0.12	1.14	-1.17	2.69	-2.24	6.38
FNDC	0.95	0.06	0.05	0.06	1.09	-1.00	2.05	-1.99	5.91
SPHD	0.55	0.01	0.01	-0.13	0.67	-0.56	0.96	-0.99	3.66

Risk Metrics, Assumptions & Methodology

Systematic risk exposure for SPDR SAMPP measures how much of the fund's volatility comes from broad market movements versus idiosyncratic factors. A beta above one indicates amplified sensitivity to market swings, increasing both upside and downside exposure.

SPDR SAMPP 600 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: Ellen Johnson, Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that SPDR SAMPP 600 is more volatile than Dow Jones Industrial by approximately 1.34x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the 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 11% 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 SAMPP 600 exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. a somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View SPDR SAMPP probability analysis.

Poor diversification

The correlation between SPDR SAMPP and Dow Jones is 0.79, which Macroaxis classifies as Poor diversification for the selected horizon. A 0.79 reading means SPDR SAMPP and Dow Jones have substantial price overlap, limiting risk reduction through pairing.

View Details

Additional Risk Indicators

Secondary risk indicators for SPDR SAMPP 600 evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.

	Risk Adjusted Performance	0.1121
	Market Risk Adjusted Performance	0.1231
	Mean Deviation	0.9538
	Semi Deviation	1.05
	Downside Deviation	1.2
	Coefficient Of Variation	880.12
	Standard Deviation	1.26

SPDR SAMPP Suggested Diversification Pairs

A pair-trading setup around SPDR SAMPP shifts the return benchmark from the broad market to a second position, altering the risk profile. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.

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 SAMPP 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 SAMPP'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 SAMPP'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 SAMPP 600.

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