SPDR Portfolio Correlations
SPYD Etf | USD 47.32 0.16 0.34% |
The current 90-days correlation between SPDR Portfolio SP and Invesco SP 500 is 0.93 (i.e., Almost no diversification). The correlation of SPDR Portfolio is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
SPDR Portfolio Correlation With Market
Poor diversification
The correlation between SPDR Portfolio SP and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP and DJI in the same portfolio, assuming nothing else is changed.
SPDR |
Moving together with SPDR Etf
0.93 | VTV | Vanguard Value Index Sell-off Trend | PairCorr |
0.91 | VYM | Vanguard High Dividend | PairCorr |
0.93 | IWD | iShares Russell 1000 | PairCorr |
0.92 | DGRO | iShares Core Dividend Sell-off Trend | PairCorr |
0.94 | IVE | iShares SP 500 | PairCorr |
0.95 | DVY | iShares Select Dividend | PairCorr |
0.94 | SPYV | SPDR Portfolio SP | PairCorr |
0.97 | FVD | First Trust Value | PairCorr |
0.94 | IUSV | iShares Core SP | PairCorr |
0.86 | NOBL | ProShares SP 500 | PairCorr |
0.85 | IYC | iShares Consumer Dis | PairCorr |
0.87 | VTI | Vanguard Total Stock | PairCorr |
0.87 | VBK | Vanguard Small Cap | PairCorr |
0.8 | HD | Home Depot Sell-off Trend | PairCorr |
0.74 | CAT | Caterpillar Fiscal Year End 3rd of February 2025 | PairCorr |
0.83 | CSCO | Cisco Systems Aggressive Push | PairCorr |
0.73 | CVX | Chevron Corp Sell-off Trend | PairCorr |
0.83 | AA | Alcoa Corp Fiscal Year End 15th of January 2025 | PairCorr |
0.86 | WMT | Walmart Aggressive Push | PairCorr |
0.74 | INTC | Intel Fiscal Year End 23rd of January 2025 | PairCorr |
0.89 | AXP | American Express Fiscal Year End 24th of January 2025 | PairCorr |
0.67 | JPM | JPMorgan Chase Sell-off Trend | PairCorr |
Moving against SPDR Etf
0.46 | AIVI | WisdomTree International | PairCorr |
0.31 | VPL | Vanguard FTSE Pacific | PairCorr |
0.61 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
0.61 | BA | Boeing Fiscal Year End 29th of January 2025 | PairCorr |
0.55 | KO | Coca Cola Sell-off Trend | PairCorr |
Related Correlations Analysis
Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
---|---|---|---|---|---|---|---|---|---|---|
SPHD | 0.41 | 0.03 | (0.08) | 0.23 | 0.42 | 0.83 | 2.08 | |||
HDV | 0.46 | 0.00 | (0.15) | 0.11 | 0.43 | 0.86 | 2.15 | |||
SPYG | 0.71 | 0.01 | 0.00 | 0.13 | 1.04 | 1.55 | 5.41 | |||
SCHD | 0.53 | 0.00 | (0.05) | 0.12 | 0.45 | 1.17 | 3.19 | |||
VYM | 0.52 | 0.00 | (0.03) | 0.12 | 0.36 | 1.06 | 3.69 |