SPDR MSCI Correlations

NZAC Etf

USD 36.56 0.05 0.14%

The current 90-days correlation between SPDR MSCI ACWI and iShares ESG Advanced is 0.63 (i.e., Poor diversification). The correlation of SPDR MSCI 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 MSCI Correlation With Market

Average diversification

The correlation between SPDR MSCI ACWI and DJI is 0.16 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI ACWI and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with SPDR Etf

0.97	VT	Vanguard Total World	Pair Corr
0.97	ACWI	iShares MSCI ACWI	Pair Corr
0.63	IOO	iShares Global 100	Pair Corr
0.92	URTH	iShares MSCI World	Pair Corr
0.92	CRBN	iShares MSCI ACWI	Pair Corr
0.85	GLOV	Goldman Sachs ActiveBeta	Pair Corr
0.89	KOKU	Xtrackers MSCI Kokusai	Pair Corr
0.98	SPGM	SPDR Portfolio MSCI	Pair Corr
0.7	DLN	WisdomTree LargeCap	Pair Corr
0.75	VTI	Vanguard Total Stock	Pair Corr
0.78	PSP	Invesco Global Listed	Pair Corr
0.76	IVV	iShares Core SP	Pair Corr

Related Correlations Analysis

	HYXF	SPYX	ESGD	XESG	NZUS
HYXF		0.84	-0.19	0.79	0.83	HYXF
SPYX	0.84		-0.47	0.89	0.98	SPYX
ESGD	-0.19	-0.47		-0.48	-0.5	ESGD
XESG	0.79	0.89	-0.48		0.85	XESG
NZUS	0.83	0.98	-0.5	0.85		NZUS
	HYXF	SPYX	ESGD	XESG	NZUS

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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

NZUS	+ 0.98	SPYX
XESG	+ 0.89	SPYX
NZUS	+ 0.85	XESG
SPYX	+ 0.84	HYXF
NZUS	+ 0.83	HYXF
XESG	+ 0.79	HYXF

High negative correlations

NZUS	- 0.5	ESGD
XESG	- 0.48	ESGD
ESGD	- 0.47	SPYX
ESGD	- 0.19	HYXF

SPDR MSCI Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR MSCI 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 MSCI'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
HYXF	0.22	(0.01)	(0.02)	(0.11)	0.30	(0.23)	0.43	(0.45)	1.57
SPYX	0.60	0.05	0.06	0.33	0.81	(0.61)	1.18	(1.23)	5.33
ESGD	0.56	(0.10)	0.00	(1.10)	0.00	0.00	1.05	(1.66)	4.12
XESG	0.46	0.05	0.06	0.31	0.69	(0.47)	0.99	(1.15)	4.35
NZUS	0.62	0.06	0.06	0.36	0.88	(0.60)	1.14	(1.42)	5.19

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