SPDR Portfolio Correlations

SPEU Etf

USD 43.77 0.20 0.45%

The current 90-days correlation between SPDR Portfolio Europe and Franklin FTSE Europe is 0.05 (i.e., Significant 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

Weak diversification

The correlation between SPDR Portfolio Europe and DJI is 0.39 (i.e., Weak 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.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in SPDR Portfolio Europe. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with SPDR Etf

1.0	VGK	Vanguard FTSE Europe	Pair Corr
0.64	EZU	iShares MSCI Eurozone Sell-off Trend	Pair Corr
0.7	BBEU	JPMorgan BetaBuilders	Pair Corr
1.0	IEUR	iShares Core MSCI	Pair Corr
0.96	FEZ	SPDR EURO STOXX	Pair Corr
1.0	IEV	iShares Europe ETF	Pair Corr
0.63	DBEU	Xtrackers MSCI Europe	Pair Corr
0.99	FEP	First Trust Europe	Pair Corr
0.68	JPM	JPMorgan Chase	Pair Corr
0.73	GE	GE Aerospace	Pair Corr
0.71	T	ATT Inc Aggressive Push	Pair Corr
0.78	JNJ	Johnson Johnson	Pair Corr

Moving against SPDR Etf

0.71	MRK	Merck Company Aggressive Push	Pair Corr
0.48	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	FLEE	SPGM	IEUR	BBEU	IEUS
FLEE		0.88	0.68	1.0	0.68	FLEE
SPGM	0.88		0.5	0.87	0.57	SPGM
IEUR	0.68	0.5		0.69	0.95	IEUR
BBEU	1.0	0.87	0.69		0.69	BBEU
IEUS	0.68	0.57	0.95	0.69		IEUS
	FLEE	SPGM	IEUR	BBEU	IEUS

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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	0.12	0.17	(1.18)	0.59	(0.64)	1.26	(1.07)	3.53
SPGM	0.55	0.03	0.05	(0.56)	0.80	(0.53)	1.06	(1.22)	3.80
IEUR	0.61	0.14	0.18	0.33	0.61	(0.66)	1.24	(1.08)	3.77
BBEU	0.60	0.12	0.16	(1.07)	0.58	(0.64)	1.17	(1.13)	3.53
IEUS	0.70	0.10	0.11	0.20	0.80	(0.74)	1.47	(1.25)	4.11

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