SPDR Portfolio Correlations

SPHY Etf

USD 23.47 0.02 0.09%

The current 90-days correlation between SPDR Portfolio High and iShares 0 5 Year is 0.02 (i.e., Significant 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. If the correlation is 0, the equities are not correlated; they are entirely random.

SPDR Portfolio Correlation With Market

Average diversification

The correlation between SPDR Portfolio High and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio High 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 High. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with SPDR Etf

0.99	HYG	iShares iBoxx High Sell-off Trend	Pair Corr
0.89	USHY	iShares Broad USD	Pair Corr
0.99	JNK	SPDR Bloomberg High Sell-off Trend	Pair Corr
0.88	SHYG	iShares 0 5	Pair Corr
0.99	HYLB	Xtrackers USD High	Pair Corr
0.97	SJNK	SPDR Bloomberg Short	Pair Corr
0.93	ANGL	VanEck Fallen Angel	Pair Corr
0.96	FALN	iShares Fallen Angels	Pair Corr
0.94	HYLS	First Trust Tactical	Pair Corr
0.78	HYDW	Xtrackers Low Beta	Pair Corr
0.85	VTI	Vanguard Total Stock	Pair Corr
0.77	SPY	SPDR SP 500	Pair Corr
0.83	IVV	iShares Core SP	Pair Corr
0.66	VUG	Vanguard Growth Index	Pair Corr
0.83	VO	Vanguard Mid Cap	Pair Corr
0.84	VB	Vanguard Small Cap	Pair Corr
0.65	TECL	Direxion Daily Technology	Pair Corr
0.78	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.76	T	ATT Inc Fiscal Year End 22nd of January 2025	Pair Corr
0.62	HD	Home Depot Sell-off Trend	Pair Corr
0.65	CSCO	Cisco Systems	Pair Corr
0.71	WMT	Walmart	Pair Corr
0.69	JPM	JPMorgan Chase Fiscal Year End 10th of January 2025	Pair Corr

Moving against SPDR Etf

0.52

JNJ

Johnson Johnson Fiscal Year End 28th of January 2025

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.73	-0.51	-0.46	0.49	0.32	0.53	0.26	-0.09	-0.47	META
MSFT	0.73		-0.69	-0.47	0.58	-0.02	0.65	0.41	-0.25	-0.72	MSFT
UBER	-0.51	-0.69		0.53	-0.74	0.18	-0.8	-0.57	0.62	0.8	UBER
F	-0.46	-0.47	0.53		-0.1	-0.19	-0.15	0.18	0.0	0.73	F
T	0.49	0.58	-0.74	-0.1		-0.24	0.86	0.82	-0.66	-0.45	T
A	0.32	-0.02	0.18	-0.19	-0.24		-0.31	-0.49	0.72	0.1	A
CRM	0.53	0.65	-0.8	-0.15	0.86	-0.31		0.87	-0.74	-0.52	CRM
JPM	0.26	0.41	-0.57	0.18	0.82	-0.49	0.87		-0.81	-0.3	JPM
MRK	-0.09	-0.25	0.62	0.0	-0.66	0.72	-0.74	-0.81		0.34	MRK
XOM	-0.47	-0.72	0.8	0.73	-0.45	0.1	-0.52	-0.3	0.34		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.87	CRM
CRM	+ 0.86	T
JPM	+ 0.82	T
XOM	+ 0.8	UBER
MSFT	+ 0.73	META
XOM	+ 0.73	F

High negative correlations

MRK	- 0.81	JPM
CRM	- 0.8	UBER
MRK	- 0.74	CRM
T	- 0.74	UBER
XOM	- 0.72	MSFT
UBER	- 0.69	MSFT

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	1.24	0.05	0.03	0.22	1.47	(1.37)	2.62	(3.15)	7.43
MSFT	0.89	(0.02)	0.00	5.87	0.00	0.00	1.78	(2.23)	8.14
UBER	1.64	(0.32)	0.00	(1.64)	0.00	0.00	2.53	(5.35)	20.41
F	1.37	(0.10)	0.00	(0.40)	0.00	0.00	2.37	(2.81)	11.21
T	0.96	0.08	0.07	(0.36)	1.13	(1.00)	1.93	(1.99)	7.95
A	1.11	(0.14)	0.00	(0.50)	0.00	0.00	2.43	(2.42)	8.06
CRM	1.47	0.31	0.19	1.24	1.33	(1.69)	3.18	(2.88)	14.80
JPM	1.07	0.22	0.17	10.66	1.12	(1.26)	1.99	(1.44)	15.87
MRK	0.98	(0.19)	0.00	(0.81)	0.00	0.00	1.72	(2.17)	5.17
XOM	0.83	(0.09)	0.00	(0.21)	0.00	0.00	1.83	(2.14)	6.06

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