SPDR Portfolio Correlations

SPGM Etf

USD 63.41 0.18 0.28%

The current 90-days correlation between SPDR Portfolio MSCI and SPDR Portfolio Europe is 0.71 (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

Good diversification

The correlation between SPDR Portfolio MSCI and DJI is -0.03 (i.e., Good 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	Pair Corr
1.0	ACWI	iShares MSCI ACWI	Pair Corr
0.74	IOO	iShares Global 100	Pair Corr
0.84	URTH	iShares MSCI World	Pair Corr
1.0	CRBN	iShares MSCI ACWI	Pair Corr
0.62	GLOV	Goldman Sachs ActiveBeta	Pair Corr
0.99	KOKU	Xtrackers MSCI Kokusai	Pair Corr
0.79	WMT	Walmart	Pair Corr
0.69	AXP	American Express	Pair Corr
0.89	JPM	JPMorgan Chase	Pair Corr

Moving against SPDR Etf

0.36

WTID

UBS ETRACS

Pair Corr

Related Correlations Analysis

	SPEU	SPBO	SPTI	QEFA	QUS
SPEU		0.9	0.91	0.94	0.23	SPEU
SPBO	0.9		0.95	0.86	0.28	SPBO
SPTI	0.91	0.95		0.87	0.03	SPTI
QEFA	0.94	0.86	0.87		0.17	QEFA
QUS	0.23	0.28	0.03	0.17		QUS
	SPEU	SPBO	SPTI	QEFA	QUS

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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	0.75	0.20	0.28	2.68	0.67	(0.82)	1.55	(1.29)	4.83
SPBO	0.26	0.03	0.36	0.49	0.16	(0.30)	0.59	(0.35)	1.48
SPTI	0.19	0.04	0.48	0.92	0.00	(0.24)	0.47	(0.32)	1.12
QEFA	0.65	0.16	0.31	(16.94)	0.53	(0.78)	1.52	(1.10)	4.31
QUS	0.55	(0.01)	0.00	3.31	0.00	0.00	1.10	(1.17)	3.13

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