SPDR Portfolio Correlations

SPIP Etf

USD 26.13 0.05 0.19%

The current 90-days correlation between SPDR Portfolio TIPS and SPDR Bloomberg 1 10 is 0.9 (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. 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 TIPS and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio TIPS 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 TIPS. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with SPDR Etf

1.0	TIP	iShares TIPS Bond	Pair Corr
0.8	IVOL	Quadratic Interest Rate	Pair Corr
0.99	JCPI	JPMorgan Inflation	Pair Corr
0.8	TDTF	FlexShares iBoxx 5	Pair Corr
0.86	LTPZ	PIMCO 15 Year	Pair Corr
1.0	DFIP	Dimensional ETF Trust	Pair Corr
1.0	TIPZ	PIMCO Broad TIPS	Pair Corr
1.0	TIPSX	DEUTSCHE GLOBAL INFLATION	Pair Corr
0.81	GDXU	MicroSectors Gold Miners	Pair Corr
0.64	IBM	International Business	Pair Corr
0.8	VZ	Verizon Communications	Pair Corr
0.72	PG	Procter Gamble	Pair Corr
0.67	TRV	The Travelers Companies	Pair Corr
0.76	JNJ	Johnson Johnson	Pair Corr

Moving against SPDR Etf

0.7	USD	ProShares Ultra Semi	Pair Corr
0.56	TECL	Direxion Daily Technology	Pair Corr
0.5	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.48	FNGO	MicroSectors FANG Index	Pair Corr
0.43	NAIL	Direxion Daily Homeb	Pair Corr
0.42	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.39	SPXL	Direxion Daily SP500	Pair Corr
0.39	UPRO	ProShares UltraPro SP500	Pair Corr
0.57	AA	Alcoa Corp	Pair Corr
0.52	MSFT	Microsoft	Pair Corr
0.44	HPQ	HP Inc	Pair Corr
0.41	BAC	Bank of America	Pair Corr
0.39	MRK	Merck Company	Pair Corr
0.34	HD	Home Depot	Pair Corr
0.32	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.04	0.59	-0.54	0.32	0.42	0.26	0.9	-0.75	-0.01	META
MSFT	-0.04		-0.62	0.09	-0.79	0.69	0.89	0.1	0.44	-0.52	MSFT
UBER	0.59	-0.62		-0.35	0.8	-0.25	-0.53	0.53	-0.85	0.54	UBER
F	-0.54	0.09	-0.35		-0.05	-0.04	-0.08	-0.39	0.56	0.31	F
T	0.32	-0.79	0.8	-0.05		-0.57	-0.71	0.17	-0.65	0.58	T
A	0.42	0.69	-0.25	-0.04	-0.57		0.79	0.62	0.1	-0.3	A
CRM	0.26	0.89	-0.53	-0.08	-0.71	0.79		0.33	0.24	-0.58	CRM
JPM	0.9	0.1	0.53	-0.39	0.17	0.62	0.33		-0.63	0.07	JPM
MRK	-0.75	0.44	-0.85	0.56	-0.65	0.1	0.24	-0.63		-0.31	MRK
XOM	-0.01	-0.52	0.54	0.31	0.58	-0.3	-0.58	0.07	-0.31		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	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.8	UBER
CRM	+ 0.79	A
A	+ 0.69	MSFT
JPM	+ 0.62	A

High negative correlations

MRK	- 0.85	UBER
T	- 0.79	MSFT
MRK	- 0.75	META
CRM	- 0.71	T
MRK	- 0.65	T
MRK	- 0.63	JPM

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	1.59	0.02	0.00	(0.05)	0.00	0.00	2.57	(3.73)	8.90
MSFT	1.12	(0.15)	0.00	(0.28)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.88	0.41	0.19	0.74	2.06	(2.04)	4.72	(3.13)	12.75
F	1.47	0.07	0.03	0.00	2.22	(1.39)	2.71	(2.89)	10.14
T	1.04	0.26	0.16	0.40	1.61	(1.11)	1.90	(1.75)	11.66
A	1.15	(0.15)	0.00	(0.23)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.38	(0.27)	0.00	(0.31)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.10	0.09	0.05	0.02	1.74	(1.04)	1.99	(3.35)	6.85
MRK	1.17	(0.11)	0.00	1.52	0.00	0.00	2.07	(1.80)	11.58
XOM	1.06	0.11	0.10	0.17	1.39	(1.08)	2.55	(2.36)	5.89

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