SPDR Portfolio Correlations

SPAB Etf

USD 25.61 0.11 0.43%

The current 90-days correlation between SPDR Portfolio Aggregate and SPDR SP World is 0.24 (i.e., Modest 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

Good diversification

The correlation between SPDR Portfolio Aggregate and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Aggregate 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 Aggregate. 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

1.0	BND	Vanguard Total Bond	Pair Corr
1.0	AGG	iShares Core Aggregate	Pair Corr
1.0	BIV	Vanguard Intermediate	Pair Corr
1.0	EAGG	iShares ESG Aggregate	Pair Corr
1.0	FLCB	Franklin Templeton ETF	Pair Corr
1.0	UITB	VictoryShares USAA Core	Pair Corr
1.0	DFCF	Dimensional ETF Trust	Pair Corr
0.97	JAGG	JPMorgan BetaBuilders	Pair Corr
1.0	AGGY	WisdomTree Yield Enhanced	Pair Corr
0.85	PCY	Invesco Emerging Markets	Pair Corr
0.87	WIP	SPDR FTSE International	Pair Corr
0.89	ISHG	iShares 1 3	Pair Corr
0.91	IGOV	iShares International	Pair Corr
0.7	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.72	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.91	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr

Moving against SPDR Etf

0.83	AEMB	American Century Inv	Pair Corr
0.8	EOS	Eaton Vance Enhanced	Pair Corr
0.7	BTC	Grayscale Bitcoin Mini	Pair Corr
0.56	ETH	Grayscale Ethereum Mini	Pair Corr
0.81	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.78	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.78	BAC	Bank of America Aggressive Push	Pair Corr
0.74	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.72	HPQ	HP Inc	Pair Corr
0.66	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.6	XOM	Exxon Mobil Corp Fiscal Year End 7th of February 2025	Pair Corr
0.6	WMT	Walmart Aggressive Push	Pair Corr
0.43	HD	Home Depot	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.26	0.55	0.07	0.53	0.05	0.64	0.28	-0.53	0.73	META
MSFT	0.26		0.21	0.17	0.16	-0.01	0.03	-0.11	0.13	-0.2	MSFT
UBER	0.55	0.21		-0.06	-0.09	0.27	-0.03	-0.16	0.09	0.35	UBER
F	0.07	0.17	-0.06		0.28	-0.41	0.5	0.7	-0.37	0.32	F
T	0.53	0.16	-0.09	0.28		-0.5	0.81	0.64	-0.79	0.39	T
A	0.05	-0.01	0.27	-0.41	-0.5		-0.46	-0.6	0.63	0.0	A
CRM	0.64	0.03	-0.03	0.5	0.81	-0.46		0.86	-0.91	0.65	CRM
JPM	0.28	-0.11	-0.16	0.7	0.64	-0.6	0.86		-0.83	0.47	JPM
MRK	-0.53	0.13	0.09	-0.37	-0.79	0.63	-0.91	-0.83		-0.56	MRK
XOM	0.73	-0.2	0.35	0.32	0.39	0.0	0.65	0.47	-0.56		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

JPM	+ 0.86	CRM
CRM	+ 0.81	T
XOM	+ 0.73	META
JPM	+ 0.7	F
XOM	+ 0.65	CRM
CRM	+ 0.64	META

High negative correlations

MRK	- 0.91	CRM
MRK	- 0.83	JPM
MRK	- 0.79	T
JPM	- 0.6	A
XOM	- 0.56	MRK
MRK	- 0.53	META

SPDR Portfolio Competition 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
META	1.07	0.07	0.02	0.23	1.41	(1.14)	2.62	(3.15)	8.02
MSFT	0.90	(0.04)	(0.05)	0.07	1.50	(0.86)	2.09	(1.85)	8.19
UBER	1.61	(0.11)	(0.04)	0.02	2.32	(1.70)	2.69	(2.53)	20.10
F	1.42	(0.15)	(0.04)	0.03	2.23	(1.39)	2.53	(2.90)	11.21
T	0.92	0.26	0.12	(7.83)	0.86	(1.06)	2.56	(1.72)	6.47
A	1.17	(0.09)	0.00	(0.06)	0.00	0.00	2.71	(2.42)	9.02
CRM	1.31	0.23	0.18	0.34	1.08	(1.53)	3.18	(1.91)	9.98
JPM	1.12	(0.04)	0.05	0.11	1.38	(1.23)	2.05	(2.00)	15.87
MRK	0.91	(0.24)	0.00	(0.86)	0.00	0.00	2.00	(2.13)	4.89
XOM	1.00	(0.03)	(0.07)	0.06	1.31	(1.04)	2.10	(2.09)	5.74

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC