Innovator SAMPP 500 ETF Volatility
| UJUL ETF | USD 40.24 0.08 0.20% |
Sharpe Ratio = 0.095
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Innovator SAMPP 500 reported a Market Risk Adjusted Performance of -0.6%, a Risk of 0.46, and a Risk Adjusted Performance of 0.1%. The ETF is tracking at approximately 7% of its historical trend range per monthly averages.
Key indicators related to Innovator SAMPP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Innovator SAMPP (3 Months):
Beta -0.06 | Alpha 0.03 | Risk 0.46 | Sharpe Ratio 0.1 | Expected Return 0.04 |
Assets With Similar Volatility
| 0.65 | INOV | Innovator ETFs Trust | PairCorr |
| 0.95 | BUFR | FT Vest Laddered | PairCorr |
| 0.95 | BUFD | FT Cboe Vest | PairCorr |
| 1.0 | PSEP | Innovator SAMPP 500 | PairCorr |
| 0.95 | PJAN | Innovator SAMPP 500 | PairCorr |
| 1.0 | PJUL | Innovator SAMPP 500 | PairCorr |
| 0.95 | PAUG | Innovator Equity Power | PairCorr |
| 0.99 | DNOV | FT Cboe Vest | PairCorr |
| 0.91 | PMAY | Innovator SAMPP 500 | PairCorr |
| 0.93 | PJUN | Innovator SAMPP 500 | PairCorr |
| 0.87 | NVDL | GraniteShares 15x Long Aggressive Push | PairCorr |
| 0.91 | USD | ProShares Ultra Semiconductors | PairCorr |
| 0.78 | KORU | Direxion Daily South Trending | PairCorr |
| 0.89 | BULZ | MicroSectors Solactive FANG | PairCorr |
| 0.85 | GGLL | Direxion Daily GOOGL | PairCorr |
| 0.87 | WGMI | Valkyrie Bitcoin Miners | PairCorr |
| 0.91 | FNGO | MicroSectors FANG Index | PairCorr |
| 0.91 | TECL | Direxion Daily Technology | PairCorr |
| 0.92 | FNGG | Direxion Daily Select | PairCorr |
| 0.83 | HUTG | Leverage Shares 2X Trending | PairCorr |
| 0.64 | BAC | Bank of America | PairCorr |
| 0.68 | JPM | JPMorgan Chase Co | PairCorr |
Sensitivity To Market
Innovator SAMPP 500 exhibits a beta of -0.0571, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 0.46%. Innovator SAMPP 500 return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 0.46%. 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.
3 Months Beta |Innovator SAMPP 500 Demand TrendCurrent 90-day Innovator SAMPP correlation with market (Dow Jones Industrial)Downside Risk
For Innovator SAMPP, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Innovator SAMPP standard deviation determines where it falls on the volatility spectrum relative to peers. Because standard deviation treats upside and downside moves equally, pairing it with downside deviation isolates asymmetric risk exposure for Innovator SAMPP. Normalizing Innovator SAMPP returns by their standard deviation produces a z-score suited to cross-asset comparison.
Standard Deviation | 0.46 |
Upside and downside risks in Innovator SAMPP are not symmetric. Downside deviation measures only the risk of loss in Innovator SAMPP's returns, unlike standard deviation which includes all moves. The risk profile of Innovator SAMPP has two components: upside risk and downside risk. Total volatility measures all price movement; downside deviation measures only the loss risk in Innovator SAMPP's returns. Innovator SAMPP 500 reported a Downside Deviation of 0.45, a Downside Variance of 0.20, and a Maximum Drawdown of 1.88.
ETF Volatility Analysis
Market participants monitor Innovator SAMPP volatility to assess the ETF's price stability. Sharp price swings in Innovator SAMPP's ETF often accompany major news events or earnings announcements. A wide deviation implies greater uncertainty and potential reward or loss for Innovator SAMPP. Volatility in Innovator SAMPP often coincides with valuation shifts that alter the risk-return profile.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Innovator SAMPP 500'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, Innovator SAMPP 500 has a beta of -0.0571. This usually implies that as returns on the benchmark increase, returns on Innovator SAMPP tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Innovator SAMPP 500 tends to outperform the market.Innovator SAMPP exhibits both macro-linked volatility and company or sector-specific developments. Beta and standard deviation quantify relative market risk. Innovator SAMPP 500 reported a Downside Deviation of 0.45, a Mean Deviation of 0.34, and a Semi Deviation of 0.35.
Predicted Return Distribution |
| Density |
What Drives Innovator SAMPP's Price Volatility?
Holdings and Allocation
Innovator SAMPP's volatility can rise when allocation drift or holdings turnover shifts across the Defined Outcome category.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Innovator SAMPP's trading.Innovator SAMPP's Fund-Specific Factors
Fund flow dynamics, expense-ratio competitiveness, and index reconstitution events can create abrupt price dispersion in Innovator SAMPP.ETF Risk Measures
Given a 90-day horizon, the coefficient of variation of Innovator SAMPP is 1052.52. The daily returns are distributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of Innovator SAMPP 500 is currently at 0.33. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.03 | |
β | Beta against Dow Jones | -0.0571 | |
σ | Overall volatility | 0.46 | |
Ir | Information ratio | 0.07 |
ETF Return Volatility
Innovator SAMPP return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The exchange-traded fund has volatility of 0.4608% on return distribution over a 90-day investment horizon. Meanwhile, 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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Innovator SAMPP Competition Risk-Adjusted Indicators
Innovator SAMPP ETF can look attractive on recent price action while risk efficiency lags the peer group. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.73 | -0.15 | 0.00 | -0.47 | 0.00 | 2.61 | 15.22 | |||
| MSFT | 1.35 | 0.04 | 0.03 | -0.38 | 1.74 | 3.11 | 8.57 | |||
| UBER | 1.72 | -0.01 | 0.00 | 0.09 | 2.20 | 3.61 | 8.83 | |||
| F | 1.53 | -0.15 | 0.00 | 0.70 | 0.00 | 4.11 | 9.26 | |||
| T | 1.16 | -0.10 | 0.00 | 0.33 | 0.00 | 2.34 | 7.75 | |||
| A | 1.41 | -0.15 | 0.00 | -1.40 | 0.00 | 2.67 | 8.08 | |||
| CRM | 2.07 | -0.05 | 0.00 | 0.30 | 0.00 | 4.07 | 13.46 | |||
| JPM | 1.12 | -0.03 | 0.00 | 3.09 | 0.00 | 2.16 | 8.16 | |||
| MRK | 1.18 | 0.02 | 0.01 | -0.21 | 1.57 | 2.73 | 7.67 | |||
| XOM | 1.42 | 0.05 | 0.02 | 0.87 | 2.04 | 2.68 | 8.59 |
Risk Metrics, Assumptions & Methodology
Return dispersion for Innovator SAMPP quantifies how far daily or periodic returns deviate from the average across the measurement window. Tracking dispersion across rolling windows reveals whether variability is stable, expanding, or contracting.
Innovator SAMPP 500 metrics draw on fund disclosures and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Michael Smolkin, Member of Macroaxis Board of Directors
Volatility Profile Summary
Recent data suggests that Innovator SAMPP 500 is less volatile than Dow Jones Industrial by approximately 2.0x 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 4% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Innovator SAMPP 500 with characteristics aligned to broad market upside participation. 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 normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Innovator SAMPP probability analysis.
Poor diversification
Across the chosen horizon, Innovator SAMPP and Dow Jones show a correlation of 0.7 and fall into the Poor diversification bucket. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Risk analysis around Innovator SAMPP 500 gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0765 | |||
| Market Risk Adjusted Performance | -0.55 | |||
| Mean Deviation | 0.3422 | |||
| Semi Deviation | 0.3539 | |||
| Downside Deviation | 0.4456 | |||
| Coefficient Of Variation | 1104.86 | |||
| Standard Deviation | 0.4638 |
Innovator SAMPP Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between Innovator SAMPP 500 and comparable securities. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Innovator SAMPP, market-wide risk remains. What pair trading can address is Innovator SAMPP's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.
More Resources for Innovator SAMPP ETF Analysis
Innovator SAMPP 500 can be assessed through both market price and NAV, which can tell different stories during volatile periods.
Innovator SAMPP NAV depends on underlying asset values, while price depends on secondary market activity. Fund-level metrics such as tracking difference and expense ratio add depth to the analysis.