SPDR SAMPP Correlations

KRE ETF

USD 70.71 0.79 1.13%

The current 90-days correlation between SPDR SAMPP Regional and First Trust North is -0.26 (i.e., Strong inverse diversification).Its correlation with fixed-income and commodity benchmarks reveals whether the stock behaves as risk-on or risk-off.

Market Linkage for SPDR SAMPP

Minimal diversification benefit

For the present investment horizon, the measured correlation between SPDR SAMPP and Dow Jones stands at 0.9, or Minimal diversification benefit. A 0.9 reading means SPDR SAMPP and Dow Jones have substantial price overlap, limiting risk reduction through pairing.

A holding's risk contribution depends on both its volatility and its correlation with other portfolio positions. Such insight enriches allocation decisions within a diversified portfolio. Sector concentration and correlation with existing positions affect diversification impact.

Moving together with SPDR SAMPP ETF

0.91	XLF	Financial Select Sector	Pair Corr
0.91	VFH	Vanguard Financials Index	Pair Corr
0.95	KBE	SPDR SAMPP Bank	Pair Corr
0.91	IYF	iShares Financials ETF	Pair Corr
0.91	FNCL	Fidelity MSCI Financials	Pair Corr
0.92	IYG	iShares Financial	Pair Corr
0.93	FXO	First Trust Financials	Pair Corr
0.95	IAT	iShares Regional Banks	Pair Corr
0.93	IXG	iShares Global Financials	Pair Corr
0.73	SPXL	Direxion Daily SAMPP500	Pair Corr
0.75	UPRO	ProShares UltraPro	Pair Corr
0.78	XMAG	DeFiance Large Cap	Pair Corr
0.65	FTLS	First Trust LongShort	Pair Corr
0.72	ESGV	Vanguard ESG Stock	Pair Corr
0.92	BAC	Bank of America	Pair Corr
0.77	DIS	Walt Disney Aggressive Push	Pair Corr
0.87	AXP	American Express	Pair Corr
0.85	BA	Boeing	Pair Corr

Moving Against SPDR SAMPP ETF

0.68	XOM	Exxon Mobil Corp	Pair Corr
0.43	T	ATT Inc	Pair Corr

Related Correlations Analysis

	XME	ITB	SPHD	SLYG	FNDC	DEM	LVHI	AAXJ	IFRA	EMLP
XME		0.67	0.6	0.78	0.88	0.79	0.33	0.79	0.78	-0.38	XME
ITB	0.67		0.88	0.27	0.67	0.32	0.27	0.33	0.37	-0.69	ITB
SPHD	0.6	0.88		0.18	0.61	0.24	0.27	0.26	0.38	-0.44	SPHD
SLYG	0.78	0.27	0.18		0.82	0.95	0.4	0.93	0.92	0.06	SLYG
FNDC	0.88	0.67	0.61	0.82		0.88	0.57	0.84	0.83	-0.24	FNDC
DEM	0.79	0.32	0.24	0.95	0.88		0.45	0.96	0.9	0.03	DEM
LVHI	0.33	0.27	0.27	0.4	0.57	0.45		0.31	0.45	0.19	LVHI
AAXJ	0.79	0.33	0.26	0.93	0.84	0.96	0.31		0.91	0.03	AAXJ
IFRA	0.78	0.37	0.38	0.92	0.83	0.9	0.45	0.91		0.16	IFRA
EMLP	-0.38	-0.69	-0.44	0.06	-0.24	0.03	0.19	0.03	0.16		EMLP
	XME	ITB	SPHD	SLYG	FNDC	DEM	LVHI	AAXJ	IFRA	EMLP

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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

AAXJ	+ 0.96	DEM
DEM	+ 0.95	SLYG
AAXJ	+ 0.93	SLYG
IFRA	+ 0.92	SLYG
IFRA	+ 0.91	AAXJ
IFRA	+ 0.9	DEM

High negative correlations

EMLP	- 0.69	ITB
EMLP	- 0.44	SPHD
EMLP	- 0.38	XME
EMLP	- 0.24	FNDC

SPDR SAMPP Constituents Risk-Adjusted Indicators

Return momentum in SPDR SAMPP ETF is more useful when tested against peer-relative fundamentals and risk. Reviewing SPDR SAMPP's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
XME	1.69	0.03	0.01	0.03	2.56	-1.45	3.59	-3.42	8.13
ITB	1.46	-0.25	0.00	-0.18	0.00	0.00	3.51	-2.87	8.96
SPHD	0.52	-0.04	0.00	-0.11	0.00	0.00	0.93	-0.99	2.80
SLYG	0.94	0.09	0.08	0.09	1.12	-0.95	2.31	-1.94	4.50
FNDC	0.95	0.05	0.04	0.05	1.12	-0.99	2.05	-1.99	5.91
DEM	0.92	0.10	0.09	0.11	1.02	-1.01	1.98	-1.75	4.66
LVHI	0.59	0.05	0.05	0.10	0.84	-0.55	1.35	-1.49	3.51
AAXJ	1.32	0.19	0.11	0.15	1.59	-1.43	2.88	-2.96	7.13
IFRA	0.81	0.08	0.08	0.12	0.88	-0.94	1.96	-1.49	4.26
EMLP	0.53	0.11	0.14	-31.90	0.53	-0.59	1.27	-0.82	3.87