SPDR SP (Switzerland) Volatility
| SXLY Etf | USD 71.40 2.68 3.62% |
SPDR SP Consumer owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0325, which indicates the etf had a -0.0325 % return per unit of volatility over the last 3 months. SPDR SP Consumer exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SPDR SP's risk adjusted performance of (0.01), and Variance of 1.21 to confirm the risk estimate we provide.
Sharpe Ratio = -0.0325
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
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Estimated Market Risk
| 1.02 actual daily | 9 91% of assets are more volatile |
Expected Return
| -0.03 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.03 actual daily | 0 Most of other assets perform better |
Based on monthly moving average SPDR SP is not performing at its full potential. However, if added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of SPDR SP by adding SPDR SP to a well-diversified portfolio.
Key indicators related to SPDR SP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
SPDR SP 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 daily returns, and it is calculated using variance and standard deviation. We also use SPDR's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SPDR SP volatility.
SPDR |
Downward market volatility can be a perfect environment for investors who play the long game with SPDR SP. They may decide to buy additional shares of SPDR SP at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with SPDR Etf
| 0.73 | XEOU | Xtrackers MSCI Europe | PairCorr |
| 0.65 | EUN | iShares STOXX Europe | PairCorr |
| 0.74 | USGBPA | UBS ETF plc | PairCorr |
| 0.78 | CISB | iShares Smart City | PairCorr |
| 0.77 | DRVE | Global X Autonomous | PairCorr |
| 0.75 | EMUM | iShares MSCI EMU | PairCorr |
| 0.65 | CSNKY | iShares VII PLC | PairCorr |
| 0.63 | XMEX | Xtrackers MSCI Mexico | PairCorr |
| 0.69 | STHC | PIMCO Short Term | PairCorr |
| 0.83 | WRDUSW-USD | UBSETF MSCIWLD USDa | PairCorr |
| 0.75 | HYLC | iShares Global High | PairCorr |
| 0.8 | XESC | Xtrackers Euro Stoxx | PairCorr |
| 0.61 | GDX | VanEck Gold Miners | PairCorr |
| 0.75 | DMFC | iShares Edge MSCI | PairCorr |
| 0.65 | XMCJ | Xtrackers MSCI Japan | PairCorr |
SPDR SP Market Sensitivity And Downside Risk
SPDR SP's beta coefficient measures the volatility of SPDR etf compared to the systematic risk of the entire 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 etf's returns against your selected market. In other words, SPDR SP's beta of 0.35 provides an investor with an approximation of how much risk SPDR SP etf can potentially add to one of your existing portfolios. SPDR SP Consumer exhibits very low volatility with skewness of -0.35 and kurtosis of 1.53. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure SPDR SP's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact SPDR SP's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze SPDR SP Consumer Demand TrendCheck current 90 days SPDR SP correlation with market (Dow Jones Industrial)SPDR SP Volatility and Downside Risk
SPDR standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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.
SPDR SP Consumer Etf Volatility Analysis
Volatility refers to the frequency at which SPDR SP etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with SPDR SP's price changes. Investors will then calculate the volatility of SPDR SP's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 SP's volatility:
Historical Volatility
This type of etf volatility measures SPDR SP's fluctuations based on previous trends. It's commonly used to predict SPDR SP's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for SPDR SP's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on SPDR SP's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. SPDR SP Consumer 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.
SPDR SP Projected Return Density Against Market
Assuming the 90 days trading horizon SPDR SP has a beta of 0.3481 . This usually implies as returns on the market go up, SPDR SP average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding SPDR SP Consumer 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 SP or 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 SP's price will be affected by overall etf 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 etf'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.
Predicted Return Density |
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What Drives a SPDR SP Price Volatility?
Several factors can influence a etf's market 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.SPDR SP Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of SPDR SP is -3081.18. The daily returns are distributed with a variance of 1.04 and standard deviation of 1.02. The mean deviation of SPDR SP Consumer is currently at 0.73. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.75
α | Alpha over Dow Jones | -0.05 | |
β | Beta against Dow Jones | 0.35 | |
σ | Overall volatility | 1.02 | |
Ir | Information ratio | -0.06 |
SPDR SP Etf Return Volatility
SPDR SP historical daily return volatility represents how much of SPDR SP etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 1.019% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7652% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
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 SP Constituents Risk-Adjusted Indicators
There is a big difference between SPDR Etf performing well and SPDR SP ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze SPDR SP's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EVAL | 0.52 | 0.15 | 0.13 | 0.46 | 0.52 | 1.60 | 3.56 | |||
| SXLU | 0.63 | (0.06) | 0.00 | 0.42 | 0.00 | 1.17 | 3.07 | |||
| STPX | 0.70 | 0.11 | 0.07 | 0.24 | 0.96 | 1.55 | 3.31 | |||
| EMAS | 0.87 | 0.02 | 0.00 | 0.08 | 1.17 | 1.64 | 5.97 | |||
| GLAC | 0.13 | (0.03) | 0.00 | (1.68) | 0.00 | 0.18 | 0.80 | |||
| SXLF | 0.63 | 0.05 | 0.01 | (0.21) | 0.74 | 1.24 | 4.28 | |||
| TBIL | 0.02 | 0.00 | (1.02) | 0.00 | 0.00 | 0.06 | 0.20 | |||
| STNX | 0.86 | 0.07 | 0.03 | 0.68 | 1.05 | 1.84 | 5.62 | |||
| SMCX | 0.63 | 0.02 | 0.00 | 0.09 | 0.87 | 1.27 | 3.82 |
About SPDR SP Volatility
Volatility is a rate at which the price of SPDR SP 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 SP may increase or decrease. In other words, similar to SPDR's beta indicator, it measures the risk of SPDR SP and helps estimate the fluctuations that may happen in a short period of time. So if prices of SPDR SP 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.3 ways to utilize SPDR SP's volatility to invest better
Higher SPDR SP's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of SPDR SP Consumer etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. SPDR SP Consumer etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of SPDR SP Consumer investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in SPDR SP's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of SPDR SP's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
SPDR SP Investment Opportunity
SPDR SP Consumer has a volatility of 1.02 and is 1.32 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of SPDR SP Consumer is lower than 9 percent of all global equities and portfolios over the last 90 days. You can use SPDR SP Consumer to protect your portfolios against small market fluctuations. The etf experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of SPDR SP to be traded at $68.54 in 90 days.Poor diversification
The correlation between SPDR SP Consumer and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP Consumer and DJI in the same portfolio, assuming nothing else is changed.
SPDR SP Additional Risk Indicators
The analysis of SPDR SP'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 SP's investment and either accepting that risk or mitigating it. Along with some common measures of SPDR SP etf's 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 | (0.01) | |||
| Market Risk Adjusted Performance | (0.09) | |||
| Mean Deviation | 0.8018 | |||
| Coefficient Of Variation | (4,314) | |||
| Standard Deviation | 1.1 | |||
| Variance | 1.21 | |||
| Information Ratio | (0.06) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
SPDR SP 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.
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 SP 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 SP'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 SP'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 SP Consumer.
Other Information on Investing in SPDR Etf
SPDR SP financial ratios help investors to determine whether SPDR Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in SPDR with respect to the benefits of owning SPDR SP security.