SPDR Russell Correlations

R2US Etf

CHF 60.10 0.94 1.59%

The current 90-days correlation between SPDR Russell 2000 and Xtrackers MSCI Korea is 0.23 (i.e., Modest diversification). The correlation of SPDR Russell 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 Russell Correlation With Market

Very poor diversification

The correlation between SPDR Russell 2000 and DJI is 0.82 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Russell 2000 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to SPDR Russell could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SPDR Russell when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SPDR Russell - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SPDR Russell 2000 to buy it.

Moving together with SPDR Etf

0.81	IDP6	iShares SP SmallCap	Pair Corr
0.75	CSUSS	iShares VII PLC	Pair Corr
0.8	GDXJ	VanEck Junior Gold	Pair Corr
0.77	ESGO	AuAg Gold Mining	Pair Corr
0.79	IAUP	iShares Gold Producers	Pair Corr
0.82	GDX	VanEck Gold Miners	Pair Corr
0.78	C50	Amundi Index Solutions	Pair Corr
0.61	VJPN	Vanguard FTSE Japan	Pair Corr
0.64	CSBGU3	iShares VII PLC	Pair Corr
0.72	TBIL	SPDR Bloomberg 1	Pair Corr
0.87	XESC	Xtrackers Euro Stoxx	Pair Corr
0.72	EURCHA	UBSFund Solutions MSCI	Pair Corr
0.75	CSSLI	iShares SLI ETF	Pair Corr
0.61	JPESG	UBS ETF plc	Pair Corr
0.67	PSRW	Invesco FTSE RAFI	Pair Corr
0.64	JPNY	Amundi Index Solutions	Pair Corr
0.73	SW2CHB	UBSFund Solutions MSCI	Pair Corr
0.68	SX5D	Invesco EURO STOXX	Pair Corr
0.65	USGBPA	UBS ETF plc	Pair Corr
0.61	AASI	Amundi Index Solutions	Pair Corr
0.66	SXLI	SPDR SP Industrials	Pair Corr
0.7	AFLT	Amundi Index Solutions	Pair Corr

Moving against SPDR Etf

0.43

XRPL

CoinShares Physical XRP

Pair Corr

Related Correlations Analysis

	R2US	CSUSS	CBUSAS	JPHG	SXLI	TBIL	HKOR	SX5D	XMKO
R2US		0.75	-0.11	0.63	0.66	0.72	0.58	0.68	0.4	R2US
CSUSS	0.75		-0.27	0.92	0.94	0.95	0.92	0.93	0.8	CSUSS
CBUSAS	-0.11	-0.27		-0.32	-0.37	-0.29	-0.27	-0.23	-0.38	CBUSAS
JPHG	0.63	0.92	-0.32		0.97	0.91	0.92	0.92	0.84	JPHG
SXLI	0.66	0.94	-0.37	0.97		0.94	0.96	0.93	0.88	SXLI
TBIL	0.72	0.95	-0.29	0.91	0.94		0.92	0.89	0.79	TBIL
HKOR	0.58	0.92	-0.27	0.92	0.96	0.92		0.93	0.9	HKOR
SX5D	0.68	0.93	-0.23	0.92	0.93	0.89	0.93		0.8	SX5D
XMKO	0.4	0.8	-0.38	0.84	0.88	0.79	0.9	0.8		XMKO
	R2US	CSUSS	CBUSAS	JPHG	SXLI	TBIL	HKOR	SX5D	XMKO

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

SXLI	+ 0.97	JPHG
HKOR	+ 0.96	SXLI
TBIL	+ 0.95	CSUSS
SXLI	+ 0.94	CSUSS
TBIL	+ 0.94	SXLI
SX5D	+ 0.93	CSUSS

High negative correlations

XMKO	- 0.38	CBUSAS
SXLI	- 0.37	CBUSAS
JPHG	- 0.32	CBUSAS
TBIL	- 0.29	CBUSAS
HKOR	- 0.27	CBUSAS
CBUSAS	- 0.27	CSUSS

SPDR Russell Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR Russell 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 Russell'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
R2US	0.98	0.03	0.01	0.09	1.20	(1.04)	2.43	(2.02)	6.16
CSUSS	0.70	0.17	0.13	(1.55)	0.64	(0.90)	1.86	(0.93)	5.71
CBUSAS	0.03	(0.01)	0.00	0.14	0.00	0.00	0.00	0.00	1.13
JPHG	0.74	0.23	0.17	(1.92)	0.62	(1.02)	2.18	(1.77)	4.93
SXLI	0.64	0.20	0.19	0.98	0.53	(0.69)	1.35	(1.39)	4.40
TBIL	0.03	0.00	(0.47)	0.52	0.00	(0.04)	0.09	(0.07)	0.34
HKOR	1.53	0.59	0.28	(2.83)	1.35	(1.76)	4.21	(2.66)	12.58
SX5D	0.37	0.11	0.10	(8.54)	0.16	(0.60)	1.37	(0.88)	3.11
XMKO	1.61	0.37	0.19	0.78	1.42	(1.90)	4.16	(3.41)	11.03

Be your own money manager

Our tools can tell you how much better you can do entering a position in SPDR Russell without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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