SPDR Portfolio Correlations

SPGM Etf

USD 65.34 0.14 0.21%

The current 90-days correlation between SPDR Portfolio MSCI and SPDR Portfolio Europe is 0.65 (i.e., Poor diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SPDR Portfolio moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SPDR Portfolio MSCI moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

SPDR Portfolio Correlation With Market

Poor diversification

The correlation between SPDR Portfolio MSCI and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio MSCI and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in SPDR Portfolio MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with SPDR Etf

1.0	VT	Vanguard Total World Sell-off Trend	Pair Corr
1.0	ACWI	iShares MSCI ACWI Sell-off Trend	Pair Corr
0.66	ACWV	iShares MSCI Global	Pair Corr
0.94	IOO	iShares Global 100	Pair Corr
0.98	URTH	iShares MSCI World	Pair Corr
0.99	CRBN	iShares MSCI ACWI	Pair Corr
0.88	GLOV	Goldman Sachs ActiveBeta	Pair Corr
0.96	KOKU	Xtrackers MSCI Kokusai	Pair Corr
0.75	PULS	PGIM Ultra Short	Pair Corr
0.97	MPAY	Akros Monthly Payout	Pair Corr
0.88	BUFF	Innovator Laddered	Pair Corr
0.88	INTC	Intel Fiscal Year End 23rd of January 2025	Pair Corr
0.65	DD	Dupont De Nemours Fiscal Year End 4th of February 2025	Pair Corr
0.82	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.7	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.95	CAT	Caterpillar Fiscal Year End 3rd of February 2025	Pair Corr
0.88	HD	Home Depot Sell-off Trend	Pair Corr
0.66	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.8	HPQ	HP Inc	Pair Corr
0.83	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr

Moving against SPDR Etf

0.66	BITI	ProShares Trust Downward Rally	Pair Corr
0.48	KO	Coca Cola Sell-off Trend	Pair Corr
0.32	GREI	Goldman Sachs Future	Pair Corr
0.56	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.36	PFE	Pfizer Inc Aggressive Push	Pair Corr

Related Correlations Analysis

	SPEU	SPBO	SPTI	QEFA	QUS
SPEU		0.76	0.73	0.89	-0.46	SPEU
SPBO	0.76		0.95	0.79	-0.49	SPBO
SPTI	0.73	0.95		0.8	-0.69	SPTI
QEFA	0.89	0.79	0.8		-0.53	QEFA
QUS	-0.46	-0.49	-0.69	-0.53		QUS
	SPEU	SPBO	SPTI	QEFA	QUS

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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

SPTI	+ 0.95	SPBO
QEFA	+ 0.89	SPEU
QEFA	+ 0.8	SPTI
QEFA	+ 0.79	SPBO
SPBO	+ 0.76	SPEU
SPTI	+ 0.73	SPEU

High negative correlations

QUS	- 0.69	SPTI
QUS	- 0.53	QEFA
QUS	- 0.49	SPBO
QUS	- 0.46	SPEU

SPDR Portfolio Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR Portfolio 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 Portfolio'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
SPEU	0.67	(0.18)	0.00	(0.40)	0.00	0.00	0.94	(1.57)	4.17
SPBO	0.26	0.00	(0.33)	0.52	0.35	(0.27)	0.51	(0.57)	1.68
SPTI	0.20	(0.02)	0.00	0.38	0.00	0.00	0.42	(0.36)	1.29
QEFA	0.61	(0.15)	0.00	(0.30)	0.00	0.00	0.98	(1.42)	3.61
QUS	0.50	(0.02)	(0.08)	0.09	0.48	(0.56)	1.08	(1.16)	3.51

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