SPDR Gold Correlations

GLD Etf

USD 495.90 1.34 0.27%

The current 90-days correlation between SPDR Gold Shares and iShares Core MSCI is 0.12 (i.e., Average diversification). The correlation of SPDR Gold 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 Gold Correlation With Market

Poor diversification

The correlation between SPDR Gold Shares and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Gold Shares and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with SPDR Etf

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in SPDR Gold Shares. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with SPDR Etf

1.0	IAU	iShares Gold Trust	Pair Corr
0.98	SLV	iShares Silver Trust Sell-off Trend	Pair Corr
1.0	GLDM	SPDR Gold Mini	Pair Corr
1.0	SGOL	abrdn Physical Gold	Pair Corr
0.97	GLTR	abrdn Physical Precious	Pair Corr
0.98	SIVR	abrdn Physical Silver Sell-off Trend	Pair Corr
1.0	IAUM	iShares Gold Trust	Pair Corr
0.83	SIXD	AIM ETF Products	Pair Corr
0.88	GAL	SPDR SSgA Global	Pair Corr
0.75	PEY	Invesco High Yield	Pair Corr
0.8	DD	Dupont De Nemours Sell-off Trend	Pair Corr
0.82	AA	Alcoa Corp	Pair Corr
0.76	WMT	Walmart Common Stock	Pair Corr
0.78	BA	Boeing	Pair Corr
0.81	CAT	Caterpillar	Pair Corr
0.69	PFE	Pfizer Inc Earnings Call This Week	Pair Corr
0.77	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.75	MRK	Merck Company Earnings Call This Week	Pair Corr
0.85	JNJ	Johnson Johnson	Pair Corr

Moving against SPDR Etf

0.73	VXX	iPath Series B Low Volatility	Pair Corr
0.73	VIXY	ProShares VIX Short Low Volatility	Pair Corr
0.72	VIXM	ProShares VIX Mid Low Volatility	Pair Corr
0.72	VXZ	iPath Series B Low Volatility	Pair Corr
0.35	YCL	ProShares Ultra Yen	Pair Corr
0.7	T	ATT Inc Earnings Call This Week	Pair Corr
0.49	MMM	3M Company	Pair Corr
0.31	IBM	International Business	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.31	0.06	0.06	-0.07	-0.27	0.34	-0.03	-0.05	0.04	META
MSFT	0.31		0.75	-0.47	0.48	0.32	0.39	-0.1	-0.81	-0.68	MSFT
UBER	0.06	0.75		-0.45	0.47	0.51	0.07	-0.23	-0.8	-0.52	UBER
F	0.06	-0.47	-0.45		-0.59	-0.33	0.02	0.46	0.64	0.6	F
T	-0.07	0.48	0.47	-0.59		0.61	-0.09	-0.25	-0.46	-0.64	T
A	-0.27	0.32	0.51	-0.33	0.61		-0.13	-0.12	-0.32	-0.52	A
CRM	0.34	0.39	0.07	0.02	-0.09	-0.13		0.62	-0.13	-0.45	CRM
JPM	-0.03	-0.1	-0.23	0.46	-0.25	-0.12	0.62		0.35	-0.05	JPM
MRK	-0.05	-0.81	-0.8	0.64	-0.46	-0.32	-0.13	0.35		0.68	MRK
XOM	0.04	-0.68	-0.52	0.6	-0.64	-0.52	-0.45	-0.05	0.68		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

UBER	+ 0.75	MSFT
XOM	+ 0.68	MRK
MRK	+ 0.64	F
JPM	+ 0.62	CRM
A	+ 0.61	T
XOM	+ 0.6	F

High negative correlations

MRK	- 0.81	MSFT
MRK	- 0.8	UBER
XOM	- 0.68	MSFT
XOM	- 0.64	T
T	- 0.59	F
XOM	- 0.52	A

SPDR Gold Competition Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR Gold 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 Gold'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	1.60	(0.03)	(0.01)	0.02	2.40	(1.68)	3.43	(2.67)	13.02
MSFT	1.24	(0.29)	0.00	(1.12)	0.00	0.00	1.85	(2.70)	4.90
UBER	1.47	(0.24)	0.00	(0.26)	0.00	0.00	2.50	(3.82)	10.23
F	1.47	0.18	0.10	0.52	1.32	(1.82)	3.65	(2.35)	16.30
T	0.88	(0.03)	0.00	(0.14)	0.00	0.00	1.63	(1.85)	4.30
A	1.19	(0.22)	0.00	(0.12)	0.00	0.00	2.90	(2.58)	7.85
CRM	1.53	(0.30)	0.00	(0.24)	0.00	0.00	2.94	(4.26)	12.37
JPM	1.11	0.04	(0.01)	(0.50)	1.66	(1.09)	2.00	(3.11)	7.38
MRK	1.26	0.30	0.21	0.47	1.14	(1.53)	3.59	(1.98)	8.09
XOM	1.06	0.24	0.18	0.45	0.96	(1.23)	2.38	(1.51)	5.82

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