SP 500 Etf Volatility

SPLV
 Etf
  

USD 66.26  0.90  1.38%   

We consider SP 500 very steady. SP 500 Low retains Efficiency (Sharpe Ratio) of 0.0457, which indicates the etf had 0.0457% of return per unit of price deviation over the last 3 months. Our approach towards measuring the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for SP 500, which you can use to evaluate the future volatility of the etf. Please validate SP 500 Low Mean Deviation of 0.8035, risk adjusted performance of 0.0372, and Downside Deviation of 1.26 to confirm if the risk estimate we provide is consistent with the expected return of 0.0505%.
  
SP 500 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 SP 500 daily returns, and it is calculated using variance and standard deviation. We also use SP 500's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SP 500 volatility.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Barely shadows the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as SP 500 can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of SP 500 at lower prices. For example, an investor can purchase SP 500 stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of SP 500's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with SP 500

0.87VTVVanguard Value ETFPairCorr
0.84VYMHigh Dividend YieldPairCorr
0.86IWDRussell 1000 ValuePairCorr
0.89IVESP 500 ValuePairCorr
0.88DGRODividend Growth IsharesPairCorr
0.79DVYSelect Dividend IsharesPairCorr
0.87SDYSP Dividend SPDRPairCorr

Moving against SP 500

0.74DBMFIM Dbi ManagedPairCorr

SP 500 Market Sensitivity And Downside Risk

SP 500's beta coefficient measures the volatility of SP 500 etf compared to the systematic risk of the entire stock 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 SP 500 etf's returns against your selected market. In other words, SP 500's beta of 0.11 provides an investor with an approximation of how much risk SP 500 etf can potentially add to one of your existing portfolios.
SP 500 Low has relatively low volatility with skewness of -0.63 and kurtosis of 1.11. However, we advise all investors to independently investigate SP 500 Low to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure SP 500's etf risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact SP 500'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 stocks as prices fall.

SP 500 Implied Volatility

SP 500's implied volatility exposes the market's sentiment of SP 500 Low stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if SP 500's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that SP 500 stock will not fluctuate a lot when SP 500's options are near their expiration.
3 Months Beta |Analyze SP 500 Low Demand Trend
Check current 90 days SP 500 correlation with market (DOW)

SP 500 Beta

    
  0.11  
SP 500 standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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.

Standard Deviation

    
  1.11  
It is essential to understand the difference between upside risk (as represented by SP 500's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of SP 500 stock's daily returns or price. Since the actual investment returns on holding a position in SP 500 stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in SP 500.

SP 500 Low Etf Volatility Analysis

Volatility refers to the frequency at which SP 500 stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with SP 500's price changes. Investors will then calculate the volatility of SP 500's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock 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 SP 500's volatility:

Historical Volatility

This type of stock volatility measures SP 500's fluctuations based on previous trends. It's commonly used to predict SP 500's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for SP 500's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. SP 500 Low 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.
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SP 500 Projected Return Density Against Market

Given the investment horizon of 90 days SP 500 has a beta of 0.1113 . This usually implies as returns on the market go up, SP 500 average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding SP 500 Low 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 SP 500 or Invesco 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 SP 500 stock's price will be affected by overall stock 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 SP 500 stock'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.
The company has an alpha of 0.0154, implying that it can generate a 0.0154 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
SP 500's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how SP 500 stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

SP 500 Etf Risk Measures

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 SP 500 or Invesco 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 SP 500 stock's price will be affected by overall stock 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 SP 500 stock'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.
Given the investment horizon of 90 days the coefficient of variation of SP 500 is 2190.2. The daily returns are distributed with a variance of 1.22 and standard deviation of 1.11. The mean deviation of SP 500 Low is currently at 0.84. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
0.0154
β
Beta against DOW0.11
σ
Overall volatility
1.11
Ir
Information ratio -0.04

SP 500 Etf Return Volatility

SP 500 historical daily return volatility represents how much SP 500 stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund inherits 1.1053% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.2712% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About SP 500 Volatility

Volatility is a rate at which the price of SP 500 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 SP 500 may increase or decrease. In other words, similar to SP 500's beta indicator, it measures the risk of SP 500 and helps estimate the fluctuations that may happen in a short period of time. So if prices of SP 500 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.
The fund generally will invest at least 90 percent of its total assets in the securities that comprise the underlying index. Strictly in accordance with its guidelines and mandated procedures, SP Dow Jones Indices LLC compiles, maintains and calculates the underlying index, which is designed to measure the performance of the 100 least volatile constituents of the SP 500 Index over the past 12 months as determined by the index Provider.

SP 500 Investment Opportunity

DOW has a standard deviation of returns of 1.27 and is 1.14 times more volatile than SP 500 Low. of all equities and portfolios are less risky than SP 500. Compared to the overall equity markets, volatility of historical daily returns of SP 500 Low is lower than 9 () of all global equities and portfolios over the last 90 days.
Use SP 500 Low to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The etf experiences a large bullish trend. Check odds of SP 500 to be traded at $72.89 in 90 days. .

Average diversification

The correlation between SP 500 Low and DJI is Average diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SP 500 Low and DJI in the same portfolio, assuming nothing else is changed.

SP 500 Additional Risk Indicators

The analysis of SP 500'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 SP 500's investment and either accepting that risk or mitigating it. Along with some common measures of SP 500 stock 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 Performance0.0372
Market Risk Adjusted Performance0.2193
Mean Deviation0.8035
Semi Deviation1.16
Downside Deviation1.26
Coefficient Of Variation3221.97
Standard Deviation1.07
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

SP 500 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.
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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 SP 500 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. SP 500'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, SP 500'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 SP 500 Low.
Additionally, take a look at World Market Map. Note that the SP 500 Low information on this page should be used as a complementary analysis to other SP 500's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.

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When running SP 500 Low price analysis, check to measure SP 500's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy SP 500 is operating at the current time. Most of SP 500's value examination focuses on studying past and present price action to predict the probability of SP 500's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move SP 500's price. Additionally, you may evaluate how the addition of SP 500 to your portfolios can decrease your overall portfolio volatility.
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The market value of SP 500 Low is measured differently than its book value, which is the value of SP 500 that is recorded on the company's balance sheet. Investors also form their own opinion of SP 500's value that differs from its market value or its book value, called intrinsic value, which is SP 500's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because SP 500's market value can be influenced by many factors that don't directly affect SP 500's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between SP 500's value and its price as these two are different measures arrived at by different means. Investors typically determine SP 500 value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, SP 500's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.