SPDR Portfolio Correlations

SPYD Etf

USD 44.02 0.29 0.65%

The current 90-days correlation between SPDR Portfolio SP and Invesco SP 500 is 0.96 (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.

SPDR Portfolio Correlation With Market

Significant diversification

The correlation between SPDR Portfolio SP and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio SP 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 SP. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in manufacturing.

Moving together with SPDR Etf

0.95	SDY	SPDR SP Dividend	Pair Corr
0.65	RPV	Invesco SP 500	Pair Corr
0.93	PEY	Invesco High Yield	Pair Corr
0.66	ONEY	SPDR Russell 1000	Pair Corr
0.71	DD	Dupont De Nemours	Pair Corr
0.61	VZ	Verizon Communications	Pair Corr
0.67	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	SPHD	HDV	SPYG	SCHD	VYM
SPHD		0.96	-0.46	0.78	0.41	SPHD
HDV	0.96		-0.53	0.72	0.38	HDV
SPYG	-0.46	-0.53		-0.02	0.55	SPYG
SCHD	0.78	0.72	-0.02		0.73	SCHD
VYM	0.41	0.38	0.55	0.73		VYM
	SPHD	HDV	SPYG	SCHD	VYM

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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

HDV	+ 0.96	SPHD
SCHD	+ 0.78	SPHD
VYM	+ 0.73	SCHD
SCHD	+ 0.72	HDV
VYM	+ 0.55	SPYG
VYM	+ 0.41	SPHD

High negative correlations

SPYG	- 0.53	HDV
SPYG	- 0.46	SPHD
SCHD	- 0.02	SPYG

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
SPHD	0.60	0.05	0.13	0.76	0.82	(0.62)	1.22	(1.55)	3.82
HDV	0.58	0.10	0.20	28.24	0.63	(0.59)	1.17	(1.12)	2.84
SPYG	1.09	(0.15)	0.00	1.32	0.00	0.00	1.81	(2.58)	6.14
SCHD	0.63	0.02	0.10	0.40	0.80	(0.64)	1.28	(1.13)	3.64
VYM	0.64	0.01	0.10	0.34	0.74	(0.69)	1.26	(1.22)	3.46

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