SPDR Portfolio Correlations

SPYV Etf

USD 51.03 0.14 0.27%

The current 90-days correlation between SPDR Portfolio SP and SPDR Portfolio SP is 0.61 (i.e., Poor 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

Poor diversification

The correlation between SPDR Portfolio SP and DJI is 0.78 (i.e., Poor 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

0.89	VTV	Vanguard Value Index	Pair Corr
0.91	VYM	Vanguard High Dividend	Pair Corr
0.93	IWD	iShares Russell 1000	Pair Corr
0.93	DGRO	iShares Core Dividend	Pair Corr
1.0	IVE	iShares SP 500	Pair Corr
0.83	DVY	iShares Select Dividend	Pair Corr
1.0	IUSV	iShares Core SP	Pair Corr
0.64	NOBL	ProShares SP 500	Pair Corr
0.83	JPM	JPMorgan Chase	Pair Corr
0.68	BAC	Bank of America	Pair Corr
0.79	WMT	Walmart	Pair Corr

Moving against SPDR Etf

0.43

MRK

Merck Company

Pair Corr

Related Correlations Analysis

	SPYG	SPYD	SPLG	SLYV	SPDW
SPYG		-0.06	0.98	0.92	-0.38	SPYG
SPYD	-0.06		0.14	-0.13	0.58	SPYD
SPLG	0.98	0.14		0.88	-0.25	SPLG
SLYV	0.92	-0.13	0.88		-0.45	SLYV
SPDW	-0.38	0.58	-0.25	-0.45		SPDW
	SPYG	SPYD	SPLG	SLYV	SPDW

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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

SPLG	+ 0.98	SPYG
SLYV	+ 0.92	SPYG
SLYV	+ 0.88	SPLG
SPDW	+ 0.58	SPYD
SPLG	+ 0.14	SPYD

High negative correlations

SPDW	- 0.45	SLYV
SPDW	- 0.38	SPYG
SPDW	- 0.25	SPLG
SLYV	- 0.13	SPYD
SPYD	- 0.06	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
SPYG	1.11	(0.07)	0.00	(0.14)	0.00	0.00	1.81	(2.87)	6.14
SPYD	0.67	0.01	0.00	(0.05)	0.00	0.00	1.34	(1.59)	3.85
SPLG	0.79	(0.04)	0.00	(0.12)	0.00	0.00	1.25	(1.70)	4.47
SLYV	0.90	(0.16)	0.00	(0.24)	0.00	0.00	1.36	(2.09)	4.21
SPDW	0.67	0.14	0.25	15.27	0.61	(0.78)	1.30	(1.15)	4.59

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