SPDR SAMPP Retail Etf Volatility
| XRT Etf | USD 79.65 -0.21 -0.26% |
SPDR SAMPP Retail exhibits relatively low price volatility over the last 3 months. SPDR SAMPP Retail continues to report a Sharpe ratio of -0.11, indicating deteriorating return efficiency over the last 3 months. The current setup includes 21 technical indicators relevant to risk behavior.
Sharpe Ratio = -0.115
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SPDR SAMPP Retail's financial profile includes a Market Risk Adjusted Performance of -0.1%, a Risk of 1.19, and a Risk Adjusted Performance of -0.1%. Based on monthly moving average, SPDR SAMPP is not realizing its theoretical return maximum. A well-diversified portfolio allocation can reduce market risk and improve total performance. A broader portfolio context transforms SPDR SAMPP risk characteristics through diversification benefits. This moving average data helps calibrate SPDR SAMPP position within a diversified allocation.
Key indicators related to SPDR SAMPP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Comparing SPDR SAMPP's current volatility against its historical average surfaces whether SPDR SAMPP is in a period of elevated risk. Together these measures provide a comprehensive view of SPDR SAMPP's risk profile. Managing volatility risk for SPDR SAMPP positions requires understanding whether elevated volatility is fundamental or sentiment-driven. A sudden spike in SPDR SAMPP volatility can signal increased uncertainty and potential for larger price swings.
Volatility Strategy
SPDR SAMPP Retail return swings may impact long-term portfolio variance. Current statistical measures show total volatility near 1.19% with a beta coefficient of 1.07, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.11, evaluates return per unit of total risk. An alpha value of -0.0589 reflects performance relative to systematic market exposure. Expected return estimates near -0.14% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Premium/discount behavior may widen during stress.
Main indicators related to SPDR SAMPP's market risk premium analysis include:
Beta 1.07 | Alpha -0.06 | Risk 1.19 | Sharpe Ratio -0.11 | Expected Return -0.14 |
Moving together with SPDR Etf
| 0.8 | XLY | Consumer Discretionary | PairCorr |
| 0.86 | VCR | Vanguard Consumer | PairCorr |
| 0.75 | ITB | iShares Home Construction | PairCorr |
| 0.83 | FDIS | Fidelity MSCI Consumer | PairCorr |
| 0.7 | XHB | SPDR SAMPP Homebuilders Potential Growth | PairCorr |
| 0.88 | IYC | iShares Consumer | PairCorr |
| 0.84 | PEJ | Invesco Dynamic Leisure | PairCorr |
| 0.93 | FXD | First Trust Consumer | PairCorr |
| 0.71 | PFFL | ETRACS 2xMonthly Pay | PairCorr |
| 0.68 | MDBX | Tradr 2X Long | PairCorr |
| 0.77 | BA | Boeing | PairCorr |
| 0.75 | AXP | American Express | PairCorr |
Moving against SPDR Etf
Sensitivity To Market
SPDR SAMPP demonstrates a beta of 1.07, indicating market-linked volatility exposure. Regression slope interpretation supports this systematic risk estimate. Total volatility measures approximately 1.19%.SPDR SAMPP Retail volatility can be described using downside deviation (0.0%), which captures negative-return intensity over the selected horizon. Options markets imply a forward-looking volatility estimate near 63.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. ETF dispersion can change when liquidity shifts in the underlying holdings or when spreads widen. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available.
3 Months Beta |Analyze SPDR SAMPP Retail Demand TrendCheck current 90 days SPDR SAMPP correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation is the primary measure of SPDR daily price volatility relative to its mean. High values indicate volatile instruments; low values indicate stable ones. SPDR standard deviation quantifies the magnitude of daily price swings relative to the average. High standard deviation implies high volatility; low standard deviation implies price stability for SPDR.
Standard Deviation | 1.19 |
An important distinction for SPDR SAMPP investors is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in SPDR SAMPP's daily returns from favorable moves. Standard deviation of SPDR SAMPP captures both favorable and adverse price swings. Downside deviation focuses exclusively on the adverse side of SPDR SAMPP's return distribution. SPDR SAMPP Retail's financial profile includes a Maximum Drawdown of 4.92.
Using SPDR Put Option to Manage Risk Based on 2026-04-02 Contracts
SPDR SAMPP Retail's financial profile includes an Option Implied Volatility of 0.63 and an Option Max Pain Price of 79. Protective puts on SPDR SAMPP are a straightforward way to manage downside risk on SPDR Etf. A put on SPDR Etf gives the buyer the contractual right to sell SPDR SAMPP shares at the strike before expiration. A put option on SPDR SAMPP functions as an insurance policy for investors holding SPDR SAMPP's shares. This protective strategy defines the worst-case exit price for SPDR SAMPP while retaining full upside participation.
SPDR SAMPP's PUT expiring on 2026-06-18
Profit |
| SPDR SAMPP Price At Expiration |
Current SPDR SAMPP Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | XRT260402P00070000 | -0.164869 | 0.021128 | 1 | 2026-04-02 | 0.0 - 1.1 | 0.0 | View |
| Put | XRT260402P00071000 | -0.140553 | 0.024088 | 1 | 2026-04-02 | 0.0 - 0.7 | 0.0 | View |
| Put | XRT260402P00075000 | -0.221262 | 0.04243 | 11 | 2026-04-02 | 0.42 - 1.44 | 0.0 | View |
| Put | XRT260402P00076000 | -0.26257 | 0.048201 | 8 | 2026-04-02 | 0.49 - 1.76 | 0.0 | View |
| Put | XRT260402P00076500 | -0.286502 | 0.050923 | 3 | 2026-04-02 | 0.57 - 1.93 | 0.0 | View |
| Put | XRT260402P00077000 | -0.255741 | 0.067957 | 4 | 2026-04-02 | 0.47 - 2.13 | 0.0 | View |
| Put | XRT260402P00077500 | -0.339326 | 0.055787 | 5 | 2026-04-02 | 0.77 - 2.33 | 0.0 | View |
| Put | XRT260402P00078000 | -0.36794 | 0.057716 | 3044 | 2026-04-02 | 0.89 - 2.57 | 0.0 | View |
| Put | XRT260402P00079000 | -0.404263 | 0.091144 | 5 | 2026-04-02 | 1.18 - 3.45 | 0.0 | View |
| Put | XRT260402P00080000 | -0.498779 | 0.099305 | 71 | 2026-04-02 | 1.6 - 4.55 | 0.0 | View |
| Put | XRT260402P00081000 | -0.536203 | 0.055185 | 2 | 2026-04-02 | 2.07 - 5.3 | 0.0 | View |
Etf Volatility Analysis
Tracking SPDR SAMPP volatility helps market participants understand the degree of price uncertainty. Highly volatile etfs like SPDR SAMPP tend to experience wider price swings in both directions. Periods of high volatility for SPDR SAMPP can present both risks and opportunities for traders. When SPDR SAMPP experiences high volatility, its etf price can shift dramatically in a short period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. SPDR SAMPP Retail 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.
Projected Return Density Against Market
Considering the 90-day investment horizon SPDR SAMPP has a beta of 1.0714 . This entails SPDR SAMPP Retail market returns are related to returns on the market. As the market goes up or down, SPDR SAMPP is expected to follow.Market risk ties SPDR SAMPP to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. SPDR SAMPP Retail's financial profile includes a Mean Deviation of 0.90, an Option Implied Volatility of 0.63, and a Standard Deviation of 1.14.
Predicted Return Distribution |
| Density |
What Drives SPDR SAMPP's Price Volatility?
Industry Dynamics
Sector-level catalysts in the SPDR State Street Global Advisors sector often set the baseline volatility regime for SPDR SAMPP.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.SPDR SAMPP's Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for SPDR SAMPP's.Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of SPDR SAMPP is -869.5. The daily returns are distributed with a variance of 1.4 and standard deviation of 1.19. The mean deviation of SPDR SAMPP Retail is currently at 0.95. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.0589 | |
β | Beta against Dow Jones | 1.07 | |
σ | Overall volatility | 1.19 | |
Ir | Information ratio | -0.0558 |
Etf Return Volatility
SPDR SAMPP daily volatility tracks how widely etf returns have moved around the mean across the selected time frame. The exchange-traded fund reflects 1.1852% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8483% on return distribution over a 90-day investment 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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SPDR SAMPP Constituents Risk-Adjusted Indicators
Return momentum in SPDR Etf is more useful when tested against peer-relative fundamentals and risk. Reviewing SPDR SAMPP's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors evaluate 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| IDLV | 0.49 | 0.01 | 0.10 | -0.13 | 0.81 | 0.85 | 3.19 | |||
| RSPF | 0.83 | -0.18 | 0.00 | 1.06 | 0.00 | 1.50 | 5.46 | |||
| ENFR | 0.71 | 0.29 | 0.44 | -2.14 | 0.39 | 1.84 | 3.69 | |||
| FXD | 0.93 | -0.18 | 0.00 | 0.54 | 0.00 | 1.72 | 5.03 | |||
| NUEM | 0.95 | 0.00 | 0.05 | -0.08 | 1.47 | 2.12 | 6.64 | |||
| EWN | 1.12 | 0.12 | 0.07 | 0.03 | 1.44 | 2.23 | 5.59 | |||
| TBFC | 0.36 | -0.03 | 0.00 | 0.16 | 0.00 | 0.57 | 2.49 | |||
| RSSB | 0.86 | 0.03 | 0.00 | -0.04 | 0.00 | 1.81 | 5.90 | |||
| DGRS | 0.78 | 0.12 | 0.13 | 0.05 | 0.86 | 2.12 | 5.59 | |||
| XJH | 0.77 | -0.04 | 0.00 | 0.15 | 0.00 | 1.37 | 5.80 |
Risk Metrics, Assumptions & Methodology
Volatility for SPDR SAMPP reflects price dispersion, spread stability, and underlying basket liquidity conditions. Uncertainty impacts position sizing assumptions in portfolio models.
SPDR SAMPP Retail metrics are compiled from fund disclosures and market reference feeds and normalized before display. Not all fields update in real time. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardSPDR SAMPP Investment Opportunity
SPDR SAMPP Retail currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.4. The higher-risk profile should usually be reviewed beside Sharpe Ratio, downside risk, and catalyst strength before the position is sized up.You can use SPDR SAMPP Retail to protect the portfolio against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a normal downward trend and little activity. Check odds of SPDR SAMPP to be traded at $78.85 in 90 days.Very poor diversification
For the present investment horizon, the measured correlation between SPDR SAMPP and Dow Jones stands at 0.89, or Very poor diversification. This chart helps evaluate whether adding Dow Jones genuinely reduces risk relative to holding SPDR SAMPP alone.
SPDR SAMPP Additional Risk Indicators
Risk analysis around SPDR SAMPP Retail becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.11 | |||
| Mean Deviation | 0.9018 | |||
| Coefficient Of Variation | -939.54 | |||
| Standard Deviation | 1.14 | |||
| Variance | 1.31 | |||
| Information Ratio | -0.06 |
SPDR SAMPP Suggested Diversification Pairs
A pair strategy built around SPDR SAMPP Retail is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
Pair strategies help manage risk, but investors should recognize that not all risk can be diversified away through pairing. Market-level risk for SPDR SAMPP persists even in a well-constructed pair. The benefit is in offsetting SPDR SAMPP's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of SPDR SAMPP Retail.
More Resources for SPDR Etf Analysis
A broader look at SPDR SAMPP Retail comes from its financial reports and historical data. These measures show how earnings and operations are structured.SPDR SAMPP has a market cap of 805.87 M. See Your Current Watchlist for additional portfolio context. SPDR SAMPP Retail can be added to a watchlist or portfolio for position tracking. Position allocation is driven by the portfolio construction model in use. Broader economic conditions can influence SPDR SAMPP Retail's etf valuation — related indicators include signals in real. SPDR SAMPP currently shows P/E of 4.67, market cap of 805.87 Million. This analysis of SPDR SAMPP works best as a complementary layer when evaluating how the security fits in a broader portfolio. For SPDR SAMPP, the analytical tools below add portfolio-level context that single-security review alone cannot provide. You can also try the Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
Understanding SPDR SAMPP Retail includes distinguishing between market value and book value, where book value reflects SPDR's accounting equity. This information is provided for contextual purposes.
It is useful to distinguish SPDR SAMPP's value from its trading price, which are computed with different methods. Exchange pricing for SPDR SAMPP reflects real-time supply and demand across active participants.