SPDR SP Correlations

SPY Etf

USD 594.24 2.97 0.50%

The current 90-days correlation between SPDR SP 500 and Vanguard SP 500 is 1.0 (i.e., No risk reduction). The correlation of SPDR SP 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 SP Correlation With Market

Very weak diversification

The correlation between SPDR SP 500 and DJI is 0.52 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 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 SP 500. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with SPDR Etf

0.99	VTI	Vanguard Total Stock	Pair Corr
1.0	IVV	iShares Core SP	Pair Corr
0.87	VIG	Vanguard Dividend	Pair Corr
1.0	VV	Vanguard Large Cap	Pair Corr
0.62	RSP	Invesco SP 500	Pair Corr
1.0	IWB	iShares Russell 1000	Pair Corr
0.83	ESGU	iShares ESG Aware	Pair Corr
0.81	DFAC	Dimensional Core Equity Sell-off Trend	Pair Corr
1.0	SPLG	SPDR Portfolio SP	Pair Corr
0.65	PMBS	PIMCO Mortgage Backed	Pair Corr
0.8	RXI	iShares Global Consumer	Pair Corr
0.63	T	ATT Inc Aggressive Push	Pair Corr
0.65	IBM	International Business	Pair Corr
0.62	CSCO	Cisco Systems	Pair Corr
0.7	WMT	Walmart	Pair Corr
0.64	AXP	American Express	Pair Corr

Moving against SPDR Etf

0.44

MRK

Merck Company Aggressive Push

Pair Corr

Related Correlations Analysis

	VOO	DHDG	Z	MBCC	MBBB	BZDYF	DHSB	MBOX
VOO		0.98	0.67	0.88	0.65	0.0	-0.16	0.68	VOO
DHDG	0.98		0.67	0.88	0.65	0.0	-0.16	0.65	DHDG
Z	0.67	0.67		0.78	0.67	0.0	0.02	0.75	Z
MBCC	0.88	0.88	0.78		0.84	0.0	-0.16	0.82	MBCC
MBBB	0.65	0.65	0.67	0.84		0.0	-0.05	0.72	MBBB
BZDYF	0.0	0.0	0.0	0.0	0.0		0.0	0.0	BZDYF
DHSB	-0.16	-0.16	0.02	-0.16	-0.05	0.0		-0.08	DHSB
MBOX	0.68	0.65	0.75	0.82	0.72	0.0	-0.08		MBOX
	VOO	DHDG	Z	MBCC	MBBB	BZDYF	DHSB	MBOX

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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

DHDG	+ 0.98	VOO
MBCC	+ 0.88	VOO
MBCC	+ 0.88	DHDG
MBBB	+ 0.84	MBCC
MBOX	+ 0.82	MBCC
MBCC	+ 0.78	Z

High negative correlations

DHSB	- 0.16	MBCC
DHSB	- 0.16	DHDG
DHSB	- 0.16	VOO
MBOX	- 0.08	DHSB
DHSB	- 0.05	MBBB
MBOX	- 0.0	BZDYF

SPDR SP Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR SP 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 SP'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
VOO	0.58	0.03	0.03	0.05	0.85	(0.54)	1.06	(1.39)	3.70
DHDG	0.35	0.02	0.05	0.06	0.49	(0.36)	0.68	(0.80)	2.55
Z	1.62	0.07	0.02	0.04	2.65	(1.51)	3.50	(3.63)	14.88
MBCC	0.57	0.04	0.04	0.06	0.79	(0.56)	1.12	(1.16)	3.80
MBBB	0.25	0.01	0.06	0.15	0.25	(0.27)	0.52	(0.47)	1.74
BZDYF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
DHSB	0.28	(0.14)	0.00	(5.84)	0.00	0.00	0.32	(0.64)	0.96
MBOX	0.59	0.02	0.02	0.02	0.83	(0.60)	1.06	(1.06)	4.74

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