Sampp Smallcap Index Fund Volatility
| SMLKX Fund | USD 20.23 -0.02 -0.1% |
Sampp Smallcap Index appears to hold a low volatility profile across the current lookback window. Sampp Smallcap Index currently reflects a Sharpe Ratio (Efficiency) of -0.0138, capturing negative return efficiency over the last 3 months. Current volatility conditions are reflected in 26 technical indicators.
Sharpe Ratio = -0.0138
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | SMLKX |
Latest disclosures for Sampp Smallcap Index show a Market Risk Adjusted Performance of 0.02%, a Risk of 1.03, and a Risk Adjusted Performance of 0.02%. Monthly performance data suggests SP SMALLCAP is falling short of its full potential. A well-diversified portfolio can improve risk-return balance and overall contribution.
Key indicators related to SP SMALLCAP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The risk model for SP SMALLCAP incorporates multiple volatility measures, including realized volatility, beta-adjusted market sensitivity, and financial distress probability, to provide a robust estimate of SP SMALLCAP's overall risk level.
SMLKX |
Volatility Strategy
Price variability in Sampp Smallcap Index interacts with broader market movements. Current statistical measures show total volatility near 1.03% with a beta coefficient of 1.15, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0138, evaluates return per unit of total risk. An alpha value of 0.0613 reflects performance relative to systematic market exposure. Expected return estimates near -0.0141% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to SP SMALLCAP's market risk premium analysis include:
Beta 1.15 | Alpha 0.0613 | Risk 1.03 | Sharpe Ratio -0.01 | Expected Return -0.01 |
Moving together with SMLKX Mutual Fund
| 0.84 | EMSLX | Shelton Emerging Markets | PairCorr |
| 0.91 | NEXTX | Shelton Green Alpha | PairCorr |
| 0.82 | SISEX | Shelton International | PairCorr |
| 0.82 | SISLX | Shelton International | PairCorr |
| 1.0 | SMCIX | Sampp Smallcap Index | PairCorr |
| 0.77 | DEBTX | Shelton Tactical Credit | PairCorr |
| 0.97 | SPMIX | Sampp Midcap Index | PairCorr |
| 0.97 | MIDKX | Sampp Midcap Index | PairCorr |
| 0.97 | VSMAX | Vanguard Small Cap | PairCorr |
| 0.97 | VSCIX | Vanguard Small Cap | PairCorr |
| 0.97 | VSCPX | Vanguard Small Cap | PairCorr |
| 0.97 | NAESX | Vanguard Small Cap | PairCorr |
| 0.93 | FSSNX | Fidelity Small Cap | PairCorr |
| 1.0 | DFSTX | Us Small Cap | PairCorr |
| 0.97 | FTHSX | Fuller Thaler Behavioral | PairCorr |
| 0.97 | FTHNX | Fuller Thaler Behavioral | PairCorr |
| 0.87 | PASVX | T Rowe Price | PairCorr |
| 0.72 | PRVIX | T Rowe Price | PairCorr |
Sensitivity To Market
SP SMALLCAP'sSampp Smallcap Index beta coefficient quantifies market-related volatility exposure. Calculated as the slope of returns versus benchmark returns, the current beta reading of 1.15 reflects its relative systematic risk. Observed volatility is approximately 1.03%.The recent volatility profile for Sampp Smallcap Index can be described using downside deviation (1.04%) and overall dispersion (1.04%). Fund volatility can shift after rebalancing or changes in the underlying allocation bands.
3 Months Beta |Analyze Sampp Smallcap Index Demand TrendCheck current 90 days SP SMALLCAP correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of SMLKX measures the spread of its daily returns around the mean over your chosen time horizon. High standard deviation points to high volatility; low standard deviation points to price stability.
Standard Deviation | 1.03 |
Standard deviation and downside deviation are complementary tools for assessing SP SMALLCAP's risk. While standard deviation captures total volatility, downside deviation focuses exclusively on the loss side of SP SMALLCAP's return distribution. Latest disclosures for Sampp Smallcap Index show a Downside Deviation of 1.04, a Downside Variance of 1.09, and a Maximum Drawdown of 4.99.
Mutual Fund Volatility Analysis
In evaluating SP SMALLCAP as an investment, volatility is a primary indicator of risk. A higher-volatility mutual fund like SP SMALLCAP may generate large gains or losses in a short timeframe. Investors with a lower risk tolerance generally prefer mutual funds exhibiting lower volatility.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Sampp Smallcap Index 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.
SP SMALLCAP Projected Return Density Against Market
Assuming a 90-day horizon the mutual fund has the beta coefficient of 1.1529 . This usually implies as the benchmark fluctuates upward, the fund is expected to outperform it on average. However, if the benchmark returns are projected to be negative, SP SMALLCAP will likely underperform.Exposure to the mutual fund market introduces systematic volatility in SP SMALLCAP. In contrast, company or sector-specific developments represent asset-level risk that may be diversified away. Latest disclosures for Sampp Smallcap Index show a Downside Deviation of 1.04, a Mean Deviation of 0.79, and a Semi Deviation of 0.99.
Predicted Return Density |
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What Drives a SP SMALLCAP Price Volatility?
Several factors can influence a fund'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.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of SP SMALLCAP is -7272.68. The daily returns are distributed with a variance of 1.06 and standard deviation of 1.03. The mean deviation of Sampp Smallcap Index is currently at 0.78. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 1.15 | |
σ | Overall volatility | 1.03 | |
Ir | Information ratio | 0.05 |
Mutual Fund Return Volatility
SP SMALLCAP historical daily return volatility represents how much of SP SMALLCAP fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.0281% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.792% volatility on return distribution over a 90-day horizon. Performance |
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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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Risk-Adjusted Indicators
There is a big difference between SMLKX Mutual Fund performing well and SP SMALLCAP Mutual Fund 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 SP SMALLCAP'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SISEX | 0.68 | 0.06 | 0.08 | 0.14 | 1.06 | 1.48 | 5.62 | |||
| SISLX | 0.68 | 0.06 | 0.08 | 0.13 | 1.07 | 1.48 | 5.63 | |||
| EMSQX | 0.90 | 0.11 | 0.10 | 0.37 | 1.39 | 2.02 | 6.25 | |||
| CFNTX | 0.08 | 0.00 | 0.18 | -0.04 | 0.08 | 0.19 | 0.84 | |||
| SMCIX | 0.80 | 0.06 | 0.05 | 0.01 | 0.99 | 1.54 | 5.02 | |||
| SMLKX | 0.79 | 0.06 | 0.05 | 0.01 | 0.99 | 1.57 | 4.99 | |||
| NASDX | 0.79 | -0.04 | 0.00 | -0.10 | 0.00 | 1.40 | 4.18 | |||
| EQTKX | 0.49 | -0.01 | 0.00 | -0.06 | 0.00 | 0.75 | 3.80 | |||
| EQTIX | 0.49 | -0.01 | 0.00 | -0.06 | 0.00 | 0.75 | 3.76 |
Risk Metrics, Assumptions & Methodology
Volatility for SP SMALLCAP reflects NAV dispersion and exposure stability across disclosure periods. Risk scaling adjusts for dispersion changes across windows.
The analytics block for Sampp Smallcap Index relies on fund disclosures and market reference feeds, with quality checks and normalization applied before rendering. Timing can vary by data vendor. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Vlad Skutelnik - Macroaxis ContributorSP SMALLCAP Investment Opportunity
Measured over the selected horizon, Sampp Smallcap Index carries roughly 1.3 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Sampp Smallcap Index to protect your portfolios against small market fluctuations. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend and little activity. Check odds of SP SMALLCAP to be traded at $20.03 in 90 days.Poor diversification
Across the chosen horizon, SMLKX and DJI show a correlation of 0.78 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
SP SMALLCAP Additional Risk Indicators
Risk analysis around Sampp Smallcap Index becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0174 | |||
| Market Risk Adjusted Performance | 0.0183 | |||
| Mean Deviation | 0.7925 | |||
| Semi Deviation | 0.9866 | |||
| Downside Deviation | 1.04 | |||
| Coefficient Of Variation | 5294.59 | |||
| Standard Deviation | 1.04 |
SP SMALLCAP Suggested Diversification Pairs
Pair trading with SP SMALLCAP can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. 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 SP SMALLCAP 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 SMALLCAP'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 SMALLCAP'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 Sampp Smallcap Index.