SPDR Portfolio Correlations
SPEU Etf | USD 40.79 0.16 0.39% |
The current 90-days correlation between SPDR Portfolio Europe and Franklin FTSE Europe is -0.05 (i.e., Good 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
Average diversification
The correlation between SPDR Portfolio Europe and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR Portfolio Europe and DJI in the same portfolio, assuming nothing else is changed.
SPDR |
Moving together with SPDR Etf
1.0 | VGK | Vanguard FTSE Europe | PairCorr |
0.89 | EZU | iShares MSCI Eurozone | PairCorr |
0.9 | BBEU | JPMorgan BetaBuilders | PairCorr |
1.0 | IEUR | iShares Core MSCI | PairCorr |
0.83 | FEZ | SPDR EURO STOXX | PairCorr |
1.0 | IEV | iShares Europe ETF | PairCorr |
0.96 | FEP | First Trust Europe | PairCorr |
0.65 | BKT | BlackRock Income Closed | PairCorr |
Moving against SPDR Etf
0.73 | YCS | ProShares UltraShort Yen | PairCorr |
0.68 | GBTC | Grayscale Bitcoin Trust | PairCorr |
0.43 | MLPR | ETRACS Quarterly Pay | PairCorr |
0.68 | IBIT | iShares Bitcoin Trust Aggressive Push | PairCorr |
0.65 | TBT | ProShares UltraShort | PairCorr |
0.65 | SEIX | Virtus ETF Trust | PairCorr |
0.59 | ICSH | iShares Ultra Short | PairCorr |
0.57 | XLY | Consumer Discretionary | PairCorr |
0.57 | BETE | ProShares Trust | PairCorr |
0.53 | ATMP | Barclays ETN Select Low Volatility | PairCorr |
0.49 | HFGO | Hartford Large Cap | PairCorr |
0.42 | RXI | iShares Global Consumer | PairCorr |
0.38 | QQQ | Invesco QQQ Trust Aggressive Push | PairCorr |
0.38 | EWV | ProShares UltraShort MSCI Potential Growth | PairCorr |
0.34 | PVI | Invesco VRDO Tax | PairCorr |
0.33 | SHYG | iShares 0 5 | PairCorr |
Related Correlations Analysis
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
FLEE | 0.57 | (0.08) | 0.00 | (0.35) | 0.00 | 1.00 | 3.64 | |||
SPGM | 0.53 | 0.00 | (0.02) | 0.01 | 0.79 | 1.07 | 4.15 | |||
IEUR | 0.59 | (0.08) | 0.00 | (0.47) | 0.00 | 1.09 | 3.79 | |||
BBEU | 0.59 | (0.08) | 0.00 | (0.38) | 0.00 | 1.15 | 3.88 | |||
IEUS | 0.73 | (0.12) | 0.00 | (0.64) | 0.00 | 1.42 | 4.92 |